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