Sulprobil
Search…
Options
A classic on implementing option models is Les Clewlow and Chris Strickland: “Implementing Derivatives Models” (ISBN 0471966517)
Some error corrections of the first edition:
Page
Row
Correction
24
2 from top in figure 2.12
set coefficients
70
4 from bottom in figure 3.13
for j =Nj-2 downto -Nj+1 do
70
Insert before last row of figure 3.13
C[1,-Nj] = C[1,-Nj + 1] - lambda_L
75
4 from bottom in figure 3.16
for j =Nj-2 downto -Nj+1 do
75
Insert before last row of figure 3.16
C[1,-Nj] = C[1,-Nj + 1] - lambda_L
85
2 from bottom in figure 4.2
SD = sqrt( (-sum_CT2 + sum_CT * sum_CT / M ) ) * exp(-2*r*T) / (M - 1)
89
2 from bottom in figure 4.5
SD = sqrt( (-sum_CT2 + sum_CT * sum_CT / M ) ) * exp(-2*r*T) / (M - 1)
99
Delete row 9 from top
lnS = ln(S) = 4.6052 <- delete this row
I started to implement some of the algorithms in this book with Excel VBA.
Last modified 1yr ago
Copy link