Recent content by Joe Wong

See Chapter 7 of "The Complete Guide to Option Pricing Formulas" by Espen Gaarder Haug (2nd Edition) for Hull White trinomial trees for Asian Option (the CD accompanies the book contains the VBA code). See Chapter 26 of "Options, Futures, and other Derivatives" by John Hull (7th Edition) for...

I would recommend the following paper: Pricing Convertible Bonds with Interest Rate, Equity, Credit, FX and Volatility Risk by Ali Bora Yigitbasioglu

Eugene and NeedOPT, I think you are both right that my question is not relevant to risk-neutrality. I guess my question is more about implementation. In my simulation, should I assume all the stock prices to grow at risk free rate or should I use different growth rate for different stocks that...

Hi all, Imagine a scenario in which Company XYZ has promised the following awards of restricted stocks at the end of 2 years based on the ranking of 30-day average closing stock prices among 30 companies in similar industry: 1st - 5th 1000 shares 6th - 10th 500 shares 11th - 20th 100 shares...

Thanks, Andy. If there is no error in my VBA code and the Matlab code that does essentially the same thing manage to price the call option correctly, this makes me wonder if there is something wrong with VBA random number generator, or the box-muller method in getting univariate standard normal...

Andy and Brastian, Thanks for the suggestion, but I don't think rounding is the issue here as I have checked it. The difference between the round function in Excel spreadsheet and VBA is that the VBA version uses the banker's rounding (like the round function in Access) while the spreadsheet...

Alfredo, Thanks for sharing your Matlab code with me. I think my VBA code is doing exactly the same thing. Could you try running the simulation using the following parameters and see if your simulation result agrees with the Black-Scholes formula? S0=158, K=141, r=1.30%, div=2.38%, T=8...

Hi all! I have a question regarding the accuracy of Monte-Carlo simulations for option pricing. I have used the following VBA code to price a plain-vanilla European call option, and then compared the result to the output from the Black-Scholes formula. When I set the time to expiration to 3...