The title says it all. I trade futures options exclusively and wanted to see if anyone had insight into the quote speedsrobustness coming into the API. I'm using the Excel DDE right now just building ...
Say, 4-legged multi-leg options order with below leg ...
I have two assets, $S_1$ and $S_2$, which follow geometric Brownian motion processes. This implies that both $S_1$ and $S_2$ have a lognormal distribution. I'm trying to get the exchange option price ...
I noticed that if you use two correlated geometric brownian motions, the correlation structure decays in time pretty fast even for really high correlation values. I think that is not replicating ...