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Sep
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comment How does pair trading work?
when you say "Those spreads get out of whack, creating trading opportunities", I understand that the 3-2-1 spread diverges from its normal mean, and that you trade the mean reversion. It is a cointegration based on 3 components, but that's still the same rational.
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accepted good R package for vectorized option pricing
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answered good R package for vectorized option pricing
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comment good R package for vectorized option pricing
I updated my question to make it more clear
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revised good R package for vectorized option pricing
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Jul
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comment good R package for vectorized option pricing
thank you for your answer, but lapply is actually looping in R, which is slow (at least too slow for me). I am looking for a package that has a compiled loop, ie that provides a native vectorized function.
Jul
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comment good R package for vectorized option pricing
@Richard getting the price for a bunch of options with one call, or getting the delta for a bunch of options with one call
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comment What is the main reasons to use Miltersen & Schartz (1998) model for commodity futures options
Note that it is a very widely cited paper, not a crazy model coming from nowhere