This statement is completely wrong. A covered call is equivalent to selling the same-strike put. Barring liquidity or early-exercise (upcoming...
The easiest way is: Group your 100 names into 5 non-overlapping Factors, Sectors, or clusters. Just use kmeans or densclust or really any...
Didn't you, under your previous nick GRULSTMRNN, leave ET in a huff over this exact same shit?...
. He is sorely missed. 1946 -2021 Harvard Maths PhD. UofM Tenured MathProfessor, 8 years BOD COBE, head of New Products committee, shepherded...
Since options are priced at their discounted expectation, an undiscounted (set r=0) binary can almost always be interpreted as a probability. The...
A is the price of a binary that pays $1 if the price touches both barriers (U and L), and zero otherwise. You can price this as two DTKO's, the...
Seidenverg = Mark Rubinstein
Sure, try translating the R code below into VBA for a simple way to calculate the tangency (max Sharpe) portfolio directly from your array of...
Because when n is large sum(w^2 * v^2) is small and because (y - e) / (x - e) ~ y / x when e is small. The term -sum(w^2 * v^2) appears in both...
That is probably close to correct.... for your inputs. Do you have the ICJ white paper. It is based on Jan 22 component vols (top 50 stocks in...
rho <- (iv**2 - crossprod(w**2,v**2)) / sum(outer(v,v) * outer(w,w) - diag(3) * diag(outer(v,v) * outer(w,w))) The function eye is...
Yes, I mistyped the v vector. Had v = c(.25,.25,.18) I should really proofread before posting.
This result is way off. You can see this intuitively as weighted component vol is .229. For large baskets, as n -> inf, implied corr will converge...
After the big dog has left the yard, all the little dogs come out and bark at him. When the big dog returns, they'll scurry back into hiding.
SQL> SELECT SDate,Base,Expiry,Strike,Bid,Ask FROM Options WHERE SDate = '20201117' 2 AND OType = 'C' AND Expiry = '20201218' AND Strike = 45.00...
Are you Asiaprop/Volpunter/GRULSTMRNN? Finally get settled in B.C? How was the move from Hong Kong? You've been on the site for a month and...
The problem with using black76, for you, is that the underlying last price you get from your data vendor (DeltaNeutral aka HistoricalOptions,...
Does your model calibrate jointly to both spx vol/skew/smile and vix options vol (spx vol of vol should ~ vix options vol, usually vix options iv...
Perhaps they don't appreciate this point because it is a bit of a straw-man argument. Modern tail-risk and semi-variance ratios and metrics are...
AP has Republicans +5 as I write this. Where does the 20 figure come from? Just made it up? Wishful thinking?
Separate names with a comma.