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Does anyone have code (in any language) to implement the American put/call option pricing using PSOR described in Paul Wilmott's "The mathematics of financial derivatives" page 173?

"You are to determine the j fastest horses, not the j fastest horse." OK. According my strategy, it takes [N/K] + [N/K^2] + ... + [N/K^m] races to find out the fastest horse, then every m-1 races for the 2nd, ... to jth fastest horses. So the total race of finding out the j fastest horses is...

Thanks quantyst, I wasn't thinking about the cutting ring neither.

Here's my thoughts with following assumptions 1. F(N, k, j) defines as finding jth fastest horse from N horses and run maximum k horse at a time 2. F(N, k, j) = F(N, k, N-j+1) - finding jth fastest horse is the same as finding jth slowest horse 3. F(N, k, j) = 1 for any k >= N Now, the...

define F(n, k) as the way to put n mathematicians in k rooms with at least 1 M in a room (so for n < k, F(n, k) = 0) F(n, 1) = 1; F(k, k) = k!; F(n, k) = C(n, 1)*F(n-1, k-1) + C(n, 2)*F(n-2, k-1) + .. C(n, i)*F(n-i, k-1) + ... + C(n, n - k + 1 )*F(k-1, k-1); C(n, i)*F(n-i, k-1) means choose i...

I should have revise the boundary, when N = 1, it's 0 cut; when N = 2, it's 1 cut with 1, 1; when N = 3, it's 1 cut with 1, 2. And here's the application of my iteration: Assuming N = 23, 1. N = 2Sk -1, we have Sk = 12 2. Now N becomes 23 - 12 = 11, appy N = 2Sk - 1, we have Sk = 6 3. Now N...

My assumption is the room can be empty.

The hour and minute hand meet at what time of the day A general question, what are the times when hour/minute hand get together during the day (0-12 hours) after X seconds, the hour hand forming angel against 12 o'clock is x/3600 * 360 * 1/12 (1) after X seconds, the minute hand forming...

Another way for unchaining the gold chain Here's another way to solve it: assuming there is k-1 cut in the chain to produce k chains, and each chain has S1, S2, ... Sk number of golds. we have S1 = 1 for the first day; and S2 = S1 + 1 when I give Sj to the worker on a given day, I expect...

Another way for calibration I am not sure about the close form solution, but this question should be able to calculate using iterate method with following algorithm: define F(n, k) as the way to put n mathematicians in k rooms F(n, 1) = 1; F(1, 1) = 1; F(2, 1) = 4 ( 1,2|0; 1|2; 2|1; 0|1,2)...