We have Φ_Y(t), the characteristic function of Y, where Y = ln(X), and we want to find Φ_X(t), the characteristic function of X. Let's first...
I was just re-reading parts of Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E by the great Benoit...
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What did you call me boy? I am not identified by a skill, and i havent worked for hire in a long fucking time and never will do so again
Here is how to compute the characteristic function of the Heston process with the Feynman-Kac formula, it can be used in situations where the...
it is if your on shrooms
had to start somewhere
package bonanzai.instruments.options.vix; import java.util.ArrayList; importjava.util.Collections; import java.util.List; import...
time-dependent µT means µT becomes µ(T) rather than just being multiplied its an arbitrary function
Section 3.1 of Perfect hedging in rough Heston models: Generalized rough Heston models as limit of nearly unstable Hawkes processes In this...
the function doesn't have to be periodic. Was that a rhetorical question? videos is not my favorite format for learning and understanding, i...
there are multitudes of papers on how to compute the option prices once you have the characteristic function, they all involve the inverse Fourier...
you can probably test it on some reference prices at https://financepress.com/2019/02/15/heston-model-reference-prices/ gpt-4 seems much better,...
whats inst is that
You are correct that selling a naked call option on SPX to reduce haircut requirements is generally not a viable strategy under the regulatory...
the current SPX price is 3855 Thank you for letting me know the current SPX price is 3855. In that case, you could consider purchasing a deep...
i guess I should have notated that in the OP to make it clear
Thank you for clarifying the details of the trade. Given that the VIX bear call spread is traded at a net credit of $0.50, and adding a short put...
im trying to train this thing to say the right thing cause you confirmed my suspicion but my arm hurts like fuck its hard to type
Reducing margin requirements for a VIX bear call spread involves hedging the position to mitigate risk. One way to do this while spending the...
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