- Joined
- 3/6/15
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Hello everyone,
I'm trying to implement a pricing method of CPPIs using Markov Operators in C++, this method is studied in the following two articles (they do pretty much the same thing) :
One-Dimensional Pricing of CPPI (by Louis Paulot , Xavier Lacroze) :
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.250.3906
Efficient Pricing of CPPI using Markov Operators (by Louis Paulot , Xavier Lacroze) :
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.243.8340
I finished my code, but couldn't get the same results as in the two articles, and I really don't know where the problem comes from. Do you people know of any implementations of this method ?
Thank you.
I'm trying to implement a pricing method of CPPIs using Markov Operators in C++, this method is studied in the following two articles (they do pretty much the same thing) :
One-Dimensional Pricing of CPPI (by Louis Paulot , Xavier Lacroze) :
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.250.3906
Efficient Pricing of CPPI using Markov Operators (by Louis Paulot , Xavier Lacroze) :
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.243.8340
I finished my code, but couldn't get the same results as in the two articles, and I really don't know where the problem comes from. Do you people know of any implementations of this method ?
Thank you.
