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0answers
58 views

Interpretation of Johansen cointegration test in R

I am using urca package of R for Johansen Cointegration test in 2 stocks datas( A and B. My question is very elementar, but have cause some problems for me. How I interpret the critical values, for ...
1answer
54 views

Calculate put price with Black-Scholes and one discrete dividend

I try to solve this exercise: a) Calclculate the price of a 3-month European put option on a non-dividend-paying stock with a strike price of 45 when the current stock price is 40, the risk-free ...
0answers
83 views

Black-Scholes formula with deterministic interest rate and dividend yield

Does any one have the Black-Scholes formula for a European call with time-dependent but deterministic interest rate and dividend yield ?
1answer
56 views

Asian Option with Geometric Averaging

Can someone point me to any notes on how to derive the closed form formula for Asian geometric average option with payoff $\text{max}\left(\text{log}\left(\frac{A_T}{K}\right), 0\right)$ where $A_T$ ...
2answers
57 views

convert three months interbank rate into monthly rate

I have a time series of the three month interbank rate each month and I suppose that the rate is has yearly frequency. I need these interbank rates to be on a monthly basis because I want to us these ...
0answers
62 views

PDE vs TREE vs MC vs Analytical

One what basis the pricing model can be differentiated for particular trade pricing. For exapmle why PDE or Binomial tree or MC or Analytical method will be consider for pricing any trade. Question ...
0answers
52 views

Issue with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I insert into the Dataframe ...
0answers
13 views

How do I calculate what % of price hits R1 before pivot

I am trying to calculate what % of times the price touches R1 before the pivot level. I have the data for the last 10 years and know how often it touches the R1 one and pivot point but I don't know ...
0answers
87 views

1answer
189 views

Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
1answer
27 views

Complete Multiperiod Binomial model

I have the following deifnition of a Complete multiperiod binomial model: A multi period binomial model can be called complete if every derivative security can be replicated by trading in the ...
1answer
128 views

Difference between Risk avoidance and Risk transfer

I was hoping some could explain the two terms namely, risk avoidance and risk transfer. Also, can a risk be avoided by transferring it?
0answers
126 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 ...

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