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frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-12-03 14:01
Hi folks - I'm working on something new (or old, depends how you look at it) that appears to easily (I mean like a kid could almost do it) generate perturbative solutions for general SV models to arbitrary order in the vol of vol parameter and time to maturity.

Now that sounds almost too good to be true right? That's what I fear as well, hence if anyone would be interested to critically read what I've done and save me from making an utter ass of myself please let me know :)

Thanks,
F.

ronin


Total Posts: 385
Joined: May 2006
 
Posted: 2018-12-03 14:19
Happy to have a look.

It doesn't really sound too good to be true. The world is full of analytical and semi-analytical solutions. As it happens, most of them are actually inferior to numerical solutions in practice.

"There is a SIX am?" -- Arthur

frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-12-04 01:28
Thanks ronin. Will send it over to you some time this week.

frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-12-07 03:02
Sent you the first few pages.

ronin


Total Posts: 385
Joined: May 2006
 
Posted: 2018-12-07 16:11
Got it. Will read through over the weekend.

"There is a SIX am?" -- Arthur
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