 iasmath
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Total Posts: 49 |
Joined: Feb 2010 |
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I am messing around with Kou model but it looks like I have something wrong in my code. My monte-carlo vanilla prices are always greater than my FFT prices especially on puts.
Can anybody pls share a set of parameters and the corresponding vanilla call and put prices so I can check my matlab code?
And btw, anybody using this model and having fun with it? |
"When we pull back the curtain, we see that the wizard is just a man, but also that the man is a wizard" |
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There are European call and put prices in "Pricing Path-dependent Options with Jump Risk via Laplace Transforms" (page 7) by Kou, Petrella, Wang. |
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 iasmath
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Total Posts: 49 |
Joined: Feb 2010 |
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Perfect! All good now. Tks vm BlackSwan |
"When we pull back the curtain, we see that the wizard is just a man, but also that the man is a wizard" |
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