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Info about Ito's package from Mark Fisher

  • To: mathgroup at smc.vnet.net
  • Subject: [mg95322] Info about Ito's package from Mark Fisher
  • From: "tarpanelli at libero.it" <tarpanelli at libero.it>
  • Date: Thu, 15 Jan 2009 06:12:49 -0500 (EST)
  • Reply-to: "tarpanelli at libero.it" <tarpanelli at libero.it>

Hello
I just downloaded the Ito's package implemented by M.Fiusher I found in 
Wolfram website.
Is there anyone who already applied this package to define the Ito formula to 
a multi-asset options
I mean:
instead of considering a simple SDE -> dS=S*mu*dt+S*sigma*dW
we consider  -> dS_i=mu_i*S_i*dt+sigma_i*dt*sW_i
where
Correlation(d ln(S_i),d ln(S_j)) * dt=dW_i*dW_j=Corr_j,j dt

Thanks in advace

P


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