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2
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0answers
81 views

How to trade risk-adjusted returns?

Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution? And how could that distribution be exploited to enter trades?
1
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0answers
196 views

Monte Carlo simulation returns not normal distributed

I am generating 100,000 paths of SPX out to 1 year using Euler discretization. I look at how S is distributed for 100,000 paths at the 1 year point and I find it is lognormally distributed. I look at ...
1
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0answers
97 views

Stock Price Question

Can anyone show me how to answer this please? A stock has beta of 2.0 and stock specific daily volatility of 0.04. Suppose that yesterday’s closing price was 95 and today the market goes up by 3%. ...
1
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0answers
133 views

BS Implied Volatility under Normal returns

If I use theoretical prices under a normal valuation model, and I estimate their implied volatility using BLACK SCHOLES implied volatility, do I'll get corresponding log normal volatility?
0
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0answers
18 views

Correlation coefficient for different functions

Can somebody explain the correlation coefficient values for the following set of functions $x and $y? -Independent Functions -Asymptotically Dependent Functions -Marginal Functions -Normally ...
0
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0answers
46 views

Normal Black&Schole model for swaptions isn't working properly

I just wrote two functions in Matlab which calculates the swaption prices based on the Lognormal model and on the Normal model, although I have the idea that the Normal model is wrong because the ...
-4
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0answers
48 views

How to simulate lognormal returns with Monte-Carlo?

I'm trying to forecast the price of silver over a 5 year period. I pulled silver price data going back to 1970, and then computed returns based on a 5-year lag. My problem is that these returns are ...