- Joined
- 3/20/13
- Messages
- 14
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- 11
Good morning I am try to price a European Option written on a stock for my final dissertation at the university.
The Stock is named ADBE and the estimation period is from 2012-01-03 to 2013-06-28 and it expired on date 2013-08-17. I would like to price the option using the Meixner process through Montecarlo simulation and the Fast Fourier transform.
I have implemented the code based of the paper attached pag 41-44. The problem is that the code works, but the parameters are put randomly so the Fast Fourier transform does not work.
Someone could help me to write the code to fit my data in the process of Meixner so that the code be attached to work please?
While waiting for a reply, I offer you all my best regards.
The Stock is named ADBE and the estimation period is from 2012-01-03 to 2013-06-28 and it expired on date 2013-08-17. I would like to price the option using the Meixner process through Montecarlo simulation and the Fast Fourier transform.
I have implemented the code based of the paper attached pag 41-44. The problem is that the code works, but the parameters are put randomly so the Fast Fourier transform does not work.
Someone could help me to write the code to fit my data in the process of Meixner so that the code be attached to work please?
While waiting for a reply, I offer you all my best regards.
