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11
votes
6answers
2k views

How to generate a random price series with a specified range and correlation with an actual price?

I want to generate a mock price series. I want it to be within a certain range and have a defined correlation with the original price series. If I choose, say, oil, I want as many time series which ...
4
votes
1answer
99 views

What are the empirical limitations to testing market efficiency?

I have encountered a rather elegant argument about the limitations of empirically testing for market efficiency, involving the central point that we do not know whether a result is due to the "true ...
4
votes
3answers
255 views

How to hedge a derivative that pays the reciprocal of the stock price?

1) Suppose S is the stock price, how to hedge a derivative that pays $1/S_t$ at time $t$? 2) Suppose there will be a dividend of amount $d$ between $t$ and $T$, how to hedge a derivative that pays ...