meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 10 months |
| seen | Mar 26 at 6:47 | |
| stats | profile views | 16 |
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Jul 8 |
awarded | Yearling |
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Jul 8 |
awarded | Teacher |
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Jul 8 |
answered | How do I estimate the joint probability of stock B moving, if stock A moves? |
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Jul 8 |
awarded | Student |
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Jul 8 |
awarded | Scholar |
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Jul 8 |
accepted | QuantLib and exact numerical simulation |
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Jul 8 |
comment |
Formal proof for risk-neutral pricing formula The price to set up a dynamic hedge portfolio absolutely depends on the dynamics of the asset's price process through the quadratic variance. If you change your assumption about the dynamics of the price process, say by using a jump-diffusion or variance gamma process instead of geometric Brownian motion, you change the value of the option. |
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Jul 8 |
awarded | Supporter |
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Jul 8 |
asked | QuantLib and exact numerical simulation |
