For delta near 50, if the current price is exactly the strike, then the probability of touch is 100%. Otherwise, the delta approximation is: 2 *...
You don't need "N sheets" to approximately price an ATM call under BSM. You should know that the price of an ATM call ~= phi(0) * sqrt(T) * v * S....
To clarify, this period's value minus last period's EMA of that value is strictly a form of fractional differencing as the ema weights on past...
Hey Real Money, are you Neo Ultra? https://quant.stackexchange.com/questions/51277/process-transforms-fractional-difference If not, you should...
Don't tell me, let me guess... TommyR has somehow got access to an Internet-connected computer and is posting again. Usually the hospital staff...
Yes, gawk,exe is a command line scripting utility for file manipulation, You need it in your path for the command to work in a batch file The...
CBOE "without calcs" data is $600/yr. Nightly zip file is ~22mb. Put your tickers in a text file, one ticker per line. Then use the following...
Basis minus its EMA is equivalent to fractionally differentiating the series. Summing the results equals re-integrating it. You should end up...
You can get the cash prices, daily and often minutely, via the Barchart API. The symbol format is <base>Y00. So the symbol for Soybeans cash is...
The online calculator is correct, my previous post was wrong. > f <- 0.025 > o <- 2 > g <- 0.35 * log(1 + o * f) + 0.65 * log(1 - f) > g [1]...
This is completely wrong. Your expectation is not 0.0012, it is closer to 0.0008, Formula for Kelly growth: growthRate = 0.35 * 2 * ln(1 +...
Decompose the covar matrix into a corr matrix and a vol vector. Discard the vol vector (or use it as an input to your own estimated vol vector)...
You already have the tools for it. You took a Matlab (short for Matrix Laboratory) course. Once you've read in a CSV file of, say, FAANG...
It is highly likely that he is using the term in the sense of Fukunaga's classic text "Intro to Statistical Pattern Recognition," not in the sense...
Generally you would use a quadratic solver like quadprog::solve.QP (or, for more complex constraints, a more advanced solver such as Rsolnp)...
Unconstrained mean/variance optimization usually requires a covariance matrix and a mean vector. So, to sub in IV's, assuming your historical...
You left out the Lambo in the garage and the Cray in the basement. Not to mention his ex-mentor and world's greatest option trader (always sell!)...
It was pretty clear that Dozu was going to end up doxxing himself. He was just too eager to convince us what a big smart connected guy he was. He...
@trustedsource, are you and @TommyR the same person?
At a glance, the fit in your plot looks pretty good. Upon closer inspection, there are many problems with the way you are going about this. First...
Separate names with a comma.