search for: scholes

Hello, for my diploma thesis I need to program a solver for Merton?s respectively Black?s and Scholes? Option pricing formula, which should be achieved for several dates. What I want to do is to estimate the value of a firm?s assets "vA" (x[2] denotes vA) and the option-implied volatility of firm?s assets "sigA" (x[1] denotes sigA) by solving it simultaneous using the Black and...

Hello all! I would like to create a 3d plot, with the option price explained by the underlying price and time. Unfortunately, I can't quite get it to work. I would very much appreciate your help! Thanks, Anna # Black-Scholes Option Graph library(lattice) blackscholes <- function(s, k, r=.1, t=5, sigma=.9,call=TRUE) { #calculate call/put option d1 <- (log(s/k)+(r+sigma^2/2)*t)/(sigma*sqrt(t)) d2 <- d1 - sigma * sqrt(t) ifelse(call==TRUE,s*pnorm(d1) - k*exp(-r*t)*pnorm(d2),k*exp(-r*t) * p...

Hi there, can anyone tell me how to extract to values of a particular slot for some S4 object? Let take following example: > library(fOptions) > val <-GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08, b = 0.08, sigma = 0.30) > val Title: Black Scholes Option Valuation Call: GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08, b = 0.08, sigma = 0.3) Parameters: Value: TypeFlag c S 60 X 65 Time 0.25 r 0.08 b 0.08 sigma 0.3 Option Price: 2.133...

...gs whichever process tries to access it, i.e. an attempt to cp it will hang the cp. the process is unkillable, and a reboot is the only way of getting rid of it. Is it possible that the file system is corrupted? If so how to get rid of it? e2fsck -f finds nothing wrong. Andy ideas? TIA -- Tony Scholes SARL Emblard

...sing stock prices. As not all companies are traded daily (e.g. on monday, then on thursday etc) at the stock exchange, there is satistically a problem. There are some papers which explain the approach to handle infrequent trading of a stock or non synchronous data and beta estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins which do address this topic, but i couldn't find any. I have to calculated daily returns from the daily colsing stock prices. Afterwards I want to estimate the alphas and betas of the market model for a given timeperiod. Then I calculate abnormal ret...

...r R experts--- I have (many) unidimensional root problems. think loc.of.root <- uniroot( f= function(x,a) log( exp(a) + a) + a, c(.,9e10), a=rnorm(1) ) $root (for some coefficients a, there won't be a solution; for others, it may exceed the domain. implied volatilities in various Black-Scholes formulas and variant formulas are like this, too.) except I don't need 1 root, but a few million. to get so many roots, I can use a for loop, or an lapply or mclapply. alternatively, because f is a vectorized function in both x and a, evaluations for a few million values will be cheap. so,...

dear R experts: I want to define a function the calculates the black-scholes value. it takes 5 named parameters, BS <- function(S,K,dt,rf,sigma) {} . let's presume I want to be able to call this not only with my 5 numeric vectors BS( sigma=0.3, S=100, K=100, dt=1, rf=0.1 ) and BS( 100, 100, 1, 0.1, 0.3), but also with a data frame that contains the variables alll in...

...erogeneous architectures. Over the NAS benchmarks, we achieve an average speedup of 1.08× after tuning. Tuning a codelet is 13× cheaper than whole-program evaluation and predicts the tuning impact with a 94.7% accuracy. Similarly, exploring thread configurations and scheduling policies for a Black-Scholes solver on an heterogeneous big.LITTLE architecture is over 40× faster using CERE. -------------- next part -------------- An HTML attachment was scrubbed... URL: <http://lists.llvm.org/pipermail/llvm-dev/attachments/20171128/d31e9c54/attachment-0001.html> -------------- next part ---------...

...ures. Over the NAS benchmarks, we achieve an > average speedup of 1.08× after tuning. Tuning a codelet is 13× cheaper > than whole-program evaluation and predicts the tuning impact with a > 94.7% accuracy. Similarly, exploring thread configurations and scheduling > policies for a Black-Scholes solver on an heterogeneous big.LITTLE > architecture is over 40× faster using CERE. > > > > _______________________________________________ > LLVM Developers mailing list > llvm-dev at lists.llvm.org > http://lists.llvm.org/cgi-bin/mailman/listinfo/llvm-dev -- John Criswe...

Hi, I would like to embed the LibMesh library in R. I have already linked C++ code and build libraries as it is explained in the R-extension manual with trivial examples : dyn.load(paste("/home/default/LibFooR",.Platform$dynlib.ext,sep="")) I am facing a difficulty with loading a library depending on a library (libMesh) which needs an initialization function

...fred I get 'No directory /home/winnt/%D/%U' and I'm dumped in /... As I say, this is a real killer on installation of this server, I've hunted high and low but found nothing that gives any clues... All help appreciated.. BTW, nscd definitely *isn't* running... TIA -- Tony Scholes tonys@beacon.co.uk --- Outgoing mail is certified Virus Free. Checked by AVG anti-virus system (http://www.grisoft.com). Version: 6.0.766 / Virus Database: 513 - Release Date: 17/09/2004

...the domain when I ask for LEEDS and vice versa? Why not any of the others? Why can't it actually join the domain when I use 'net join'? I beleive I have valid user accounts and passwords (of users with domain administrator privileges although that could be open to doubt) TIA -- Tony Scholes tonys@beacon.co.uk --- Outgoing mail is certified Virus Free. Checked by AVG anti-virus system (http://www.grisoft.com). Version: 6.0.712 / Virus Database: 468 - Release Date: 27/06/2004

...de "H" and related functions; just another sign function "Sign", the delta function "delta", the boxcar function "boxcar" and the ramp function "ramp". 2004-06-24 fOptions/demo The 3D Plot functions for the generalized Black-Scholes option prices and the sensitivities have been moved to the examples located in the demo directory. 2004-06-14 fSeries/data The data sets from the book "The Econometric Modelling of Financial Time Series" (2nd Edition) written by Terence C. Mills have been added to the...

The default blocksize is 128K. If you are using mirrors, then each block on disk will be 128K whenever possible. But if you''re using raidzN with a capacity of M disks (M disks useful capacity + N disks redundancy) then the block size on each individual disk will be 128K / M. Right? This is one of the reasons the raidzN resilver code is inefficient. Since you end up waiting for the

...s of fit test + T-Test + F-Test + Q-Test - Z-Test - Maximum Likelihood m ARIMA m Time series analysis m GARCH models - Wavelets m Cluster analysis m Survival analysis m 2.7 Other Mathematics - Does anyone know of functions/methods that have been written for any of these? Cointegration models Black Scholes model Dynamic rational expectation models Linear rational expectation models Non-linear rational expectation models Social network models Kalman filter Neuronal networks Regressive-autoregressive models Portfolio analysis State-space models 3.0 Graphics - It seems to me this is a woefully inadequa...

Hi all there. I am trying to set up an icecast2 server (wich is already running) to send some stream mount point to another server. I mean, my server is streaming at /radio1.mp3 mount point. We can listen it at http://myserver:8000/radio1.mp3; so, i want to know if is there any way to "clone" that strem and send it to another server, such as http://giss.tv:8000/radio1.mp3 I have been

In a discussion a few weeks back, it was mentioned that the Best Practices Guide says something like "Don''t put more than ___ disks into a single vdev." At first, I challenged this idea, because I see no reason why a 21-disk raidz3 would be bad. It seems like a good thing. I was operating on assumption that resilver time was limited by sustainable throughput of disks, which

Hello, A college friend of mine is using Debian Linux on his desktop, and wondered if he could tap into ZFS goodness without adding another server in his small quiet apartment or changing the desktop OS. According to his research, there are some kernel modules for Debian which implement ZFS, or a FUSE variant. Can anyone comment how stable and functional these are? Performance is a

I have a 24 x 1TB system being used as an NFS file server. Seagate SAS disks connected via an LSI 9211-8i SAS controller, disk layout 2 x 11 disk RAIDZ2 + 2 spares. I am using 2 x DDR Drive X1s as the ZIL. When we write anything to it, the writes are always very bursty like this: ool 488K 20.0T 0 0 0 0 xpool 488K 20.0T 0 0 0 0 xpool

A) Resilver = Defrag. True/false? B) If I buy larger drives and resilver, does defrag happen? C) Does zfs send zfs receive mean it will defrag? -- This message posted from opensolaris.org