Great video! Have you done a video on pricing in trinomial trees or do you plan on doing one? More specifically on pricing American call options using a two-factor Hull-White model?
Hi @QuantyPy , great video. when proving the idea that you should never discount earlier for American call option, why do we use e (assume continuous compounding) for the interest earned for our bank account given that none pay that? I always wondered that when seeing e in many formula. Thank
Hey, Thanks for the video. I am getting different values when using different # of steps. that is, for N = [3,10,1000,5000], I think we should define u and d inside the function and compute them with varying N, if using constant u of 1.1, then the option price is varying a lot
Right, u and d are fonctions of the time step value. So : u = exp[sigma * sqrt(T / N)] where N is the time steps number and T the maturity given in years. The expression for d is straightforward.
This channel is certainly a gold mine. Please sir keep it up.
This video is amazing. Thank you so much :)
Awesome tutorial, keep it up
Great video!
Have you done a video on pricing in trinomial trees or do you plan on doing one? More specifically on pricing American call options using a two-factor Hull-White model?
Yes will get to trinomial trees and can include hull-white model 👍
i really like your channel !
Hi @QuantyPy , great video. when proving the idea that you should never discount earlier for American call option, why do we use e (assume continuous compounding) for the interest earned for our bank account given that none pay that? I always wondered that when seeing e in many formula.
Thank
Hey, Thanks for the video. I am getting different values when using different # of steps. that is, for N = [3,10,1000,5000], I think we should define u and d inside the function and compute them with varying N, if using constant u of 1.1, then the option price is varying a lot
Right, u and d are fonctions of the time step value. So : u = exp[sigma * sqrt(T / N)] where N is the time steps number and T the maturity given in years. The expression for d is straightforward.
could we get the trinomial tree ? please ? :D
Yes 👍 I’ll make some videos soon
Legend
I dont think you can compare valuation of the same portfolio for different time
❤