Attached are tables for 2months options (t=40/253), and AnnVola=20%, 30%, 40%, for the first 10 days.
Why should I share my IP (no, that's not network IP :-) with you? Can you tell me this? Read the formula in the comment, that's all . Oh, BTW,...
The cardinal error some people make regarding high vola vs. low vola is that they concentrate themselves on the IV of the option (or even on the...
The correct term is "Ito's lemma". It's been some years ago when I did this. Below is a comment from the source file. Sorry, it's in German, and...
Soon 98% of the Americans will hate the Republicans... :D That's the ace Obama has in his hand... The Tea-Party is over, Republican's! :D
I think CHK (Chesapeake Energy Corp) will have to file chap11 protection..., ie. bankruptcy...
http://www.emba.uvm.edu/~jdinitz/hcd.html
The next to leave office (aka "resign") will be Mary Schapiro, the head of the useless SEC. The official reasoning will be the usual official...
I'm by profession a programmer, but also a mathematician/researcher. I contributed even research results to an academic book, and even have been...
No, you are not a quant b/c the definition of a quant is not that what you think it is. A quant is a mathematician in finance.
Yes, I studied especially the Black-Scholes formula, and even made the Ito-Lemma used therrein unnecessary, still getting the same result., ie. I...
You are as usual talking BS (by this I don't mean Black-Scholes :)), b/c it's exactly the opposite of taking losses. It's about avoiding losses...
People like you will never understand it as it's maths for quants, not for ignorants. ...hey, this rhymes... ::)
By averaging down you can get the DD you like... :D Here's a generic formula for any % :...
Some obvious facts [UPDATE-1]: - The payoff (premium) of a higher volatile options is lesser than that of a lower volatile options. - An...
Ok, a better term is "engine" or "robot", ie. "options pricing engine", aka an "automaton" :)
Do the right thing and inform the professor _and_ the others about the flaw. This is also important for your own ego, self-respect etc. Imagine...
It is currently 18.61 and on the way to rise, the chart tells more than 1000 words or so:...
After Obama's speech to the nation today it is glass clear: the riches will be slaughtered on 1/1/2013 :-) I guess all are planning to move to...
Studies should be done against a pricing model. The other method is called backtesting. I'm doing the study, not backtesting, as I believe a...
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