If you are looking to price standard barrier options under BS assumptions (no
stoch/local vol) the analytic approximations in RQuantlib or fOptions (which is
from Haug's book) is your best friend.
Now if you must price using MC have a look at this little paper it is simple.
(and inaccurate/
Hi,
I did already a post to the list about another problem and you helped
me out, but this time, I have problems with understanding the
ugarchroll command:
I want to use a reestimation every day, which uses 400 observations.
The first window should use the first 400 observations. Therefore, I
set
For those of you looking to find the last Fridays in a month (quarter,
etc.), I just wanted to issue a warning about using the timeLastNdayInMonth
function. For instance, run these lines:
#dates-seq(as.Date(2010-01-01),as.Date(2013-04-02),by=day) test case
On Wed, 12 Jun 2013, Ilya Kipnis ilya.kip...@gmail.com writes:
For those of you looking to find the last Fridays in a month (quarter,
etc.), I just wanted to issue a warning about using the timeLastNdayInMonth
function. For instance, run these lines:
