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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.