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Mar
1
answered Implementing data-structures in a Limit order book
Mar
1
asked Is it worth preserving orderbook structure when building it from individual orders?
Feb
9
comment Why doesn't a simulated delta hedging process go to zero?
@AlexeyKalmykov yep, exactly. I know it shouldn't be, but it seems the rehedging is affected mainly by the fact that every time we use the underlying it's got a different price. (in other words, we suffer from exposure to an underlying position even though in theory the option should counterbalance it)
Feb
8
comment Why doesn't a simulated delta hedging process go to zero?
Wait, that doesn't sound correct - if I long some and then short some, I don't end up with separate long and short position, my long position is reduced by short amount and vice versa.
Feb
8
asked Why doesn't a simulated delta hedging process go to zero?
Dec
31
answered BS and delta hedging questions
Dec
18
accepted Is MATLAB-generated code good enough for use in live trading?
Dec
17
asked Is MATLAB-generated code good enough for use in live trading?
Nov
24
comment using quantlib function in my c++ program
If my answer helped, please mark it as answer - thanks!
Nov
24
asked Changes to option valuation for dollar-pegged underlying
Sep
13
awarded  Popular Question
Aug
14
awarded  Yearling
May
10
accepted When pricing options, what precision should I work with?
May
10
comment When pricing options, what precision should I work with?
Thanks for these. Excel parity is, in fact, important.
May
8
accepted How is someone's Sharpe ratio recorded and communicated?
May
8
asked How is someone's Sharpe ratio recorded and communicated?
May
7
revised When pricing options, what precision should I work with?
added 1 characters in body
May
6
asked When pricing options, what precision should I work with?
May
4
accepted Can American options with no dividends and zero risk-free rate be treated as European?
May
4
accepted What kind of specialized hardware is used in trading?