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The Quant Equation Archive is a community project
to share and organize quantitative financial equations.
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| 297 days ago |
| This equation uses the Gauss-Legendre quadrature to approximate the value of a spread option. The Gauss-Legendre quadrature abscissas (Xi) are rescaled in the range -4 to +4. The equation is unbiased and gives very accurate results, typical 6 digit accuracy with 16 quadrature points. The method was describes by K. Ravindran in his paper "Low-fat spreads" (1993) RISK 6 (10) 56--57.
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| 318 days ago |
| A forward curve model with geometric Brownian motion and mean reverting stochastic yield that correlates with the spot. full text » |
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| 346 days ago |
| This option pricing model is known as the Margrabe model for exchange options. The exchange option allows the holder to exchange one asset for another at expiration. full text » |
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| 354 days ago |
| The Schwartz type 1 model is a log price Ornstein-Uhlenbeck stochastic process. The calibration can be done through a regression of the logprices as described in the above equation. full text » |
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| 369 days ago |
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| 390 days ago |
| The Clenshaw-Curtis quadrature are used for numerical approximation of integrals.
It has an accuracy comparable to that of the Gaussian quadrature, and has natural extensions for adaptive integration. full text » |
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| 407 days ago |
| The cash-or-nothing digital option give a fixed payout of M when the underlying S ends up above (call) or below (put) the strike K. full text » |
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| 407 days ago |
| The asset-or-nothing digital option give the underlying asset S as payout when it ends ends up above (call) or below (put) the strike K at expiration.
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| 408 days ago |
| Weibull distribution. full text » |
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| 410 days ago |
| The Berg-Koppelaar quadrature is based on the use of an optimally chosen polynomial to approximate the expected payoff -the theoretical value- of a derivative in a Black & Scholes world. It has an error of order 2n, and is exact for function f(x) that are polynomials order order 2n-1. full text » |
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