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financial applied statistics


Jun
16
comment What different techniques exist for modeling exotics near payoff discontinuities in Finite Difference method?
can you expand on the brownian bridge idea?
Nov
12
answered How to calculate implied vol for next trading day?
Feb
11
comment is there a mapping from Altman Z-score for private companies to bond ratings or probability of default?
why not calculate the altman z-score for non-private companies with ratings and come up with your own mapping?
Jan
31
awarded  Editor
Jan
31
revised price of a “Cash-or-nothing binary call option”
edited body
Jan
31
comment price of a “Cash-or-nothing binary call option”
Yes you are definitely right sorry about that. S_t/B_t = E_t(S_T/B_T) under risk neutral probability
Dec
26
comment price of a “Cash-or-nothing binary call option”
Not entirely correct. You did not convert correctly from real probability measure to risk neutral probability measure. See my answer.
Dec
26
answered price of a “Cash-or-nothing binary call option”
Nov
27
awarded  Supporter
Sep
10
awarded  Teacher
Sep
10
answered Does Ito/Malliavin calculus have any applications helpful for direction based trading?