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visits member for 3 years, 2 months
seen Sep 18 at 17:22

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?
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
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.