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12878
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 8 months
seen 4 hours ago

The stock market is a metaphor for life: "How to survive in a stochastic environment?"

I am proud member of the Bachelier Finance Society: http://www.bachelierfinance.org


Jul
2
comment Calculate historical (ATM) option prices with public data
@Terco: Just do a Google search for "Black Scholes Excel" and use the variables as stated in the paper - it is not that complicated!
Jul
1
answered Calculate historical (ATM) option prices with public data
Jun
7
awarded  Popular Question
Jun
7
awarded  Notable Question
May
27
comment How do I find the most diversified portfolio, or least correlated subset, of stocks?
An expanded version of Toward Maximum Diversification from 2011 can be found here: papers.ssrn.com/sol3/papers.cfm?abstract_id=1895459
May
17
awarded  Notable Question
May
12
awarded  Nice Answer
Apr
24
awarded  Nice Question
Apr
23
awarded  Taxonomist
Apr
17
answered How 'High' is the frequency in HFT?
Apr
17
awarded  Good Answer
Apr
12
answered Tests that any system must pass to be taken seriously
Apr
10
awarded  Nice Answer
Apr
10
accepted How to calculate the most realistic historical option prices with additional publicly available parameters
Apr
9
comment How to calculate the most realistic historical option prices with additional publicly available parameters
Peter: See first sentence of my question...
Apr
9
comment How to calculate the most realistic historical option prices with additional publicly available parameters
Thank you - the answer is that historical option prices are very expensive - or do you have a good source?
Apr
8
comment How to calculate the most realistic historical option prices with additional publicly available parameters
chrisaycock is right: this is just kind of rephrasing my question :-(
Apr
8
revised Constructing an approximation of the S&P 500 volatility smile with publicly available data
added 199 characters in body
Apr
8
asked How to calculate the most realistic historical option prices with additional publicly available parameters
Apr
6
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
Thank you, I accepted your answer already, but could you please provide the reference? It would be super great if you could give an example calculation also :-) Another thing: Are kurtosis and VVIX equivalent? Thank you again!