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 ...
Say, 4-legged multi-leg options order with below leg ...
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 ...
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 ...