network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 5 months |
| seen | Apr 4 at 1:10 | |
| stats | profile views | 55 |
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Feb 6 |
asked | Calculating log returns using R |
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Jan 31 |
accepted | A gentle introduction to cointegration |
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Jan 31 |
asked | A gentle introduction to cointegration |
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Jan 31 |
asked | Is there a measure for the 'degree' of cointegration |
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Jan 3 |
comment |
How to 'calibrate' simple pricing models for equity index options and equity options? Hi Tal, thanks for your feedback. I will use it as a starting point for any subsequent investigation. |
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Jan 3 |
awarded | Scholar |
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Jan 3 |
accepted | How to 'calibrate' simple pricing models for equity index options and equity options? |
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Jan 2 |
comment |
How to 'calibrate' simple pricing models for equity index options and equity options? @TalFishman: The (historic) 'fair' bid/ask values differ from the (historic) actually "firm" quotes - in terms of price. For now, I am not concerned WHY there is a difference between the theoretical value and the "firm quotes" (I'll leave the academics to worry about the WHY). Regarding your last question - you may have misinterpreted my question. I have no views (one way or the other) on the historical data. All I want to do at this stage, is to be able to compute the 'missing' fair value bid/ask prices for strikes which don't have this data, using the inputs I outlined in my question. |
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Dec 31 |
asked | How to 'calibrate' simple pricing models for equity index options and equity options? |
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Dec 30 |
awarded | Teacher |
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Dec 30 |
awarded | Supporter |
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Dec 30 |
answered | True or False? An option's price will always be greater than or equal to its intrinsic value |
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Dec 1 |
comment |
How would I value a perpetual bond with an embedded option? I agree with this answer intuitively - although I must admit that I don't exactly understand your answer. My understanding of your answer is that the instrument should be valued as a perpetual bond (with an embedded option) and recorded at Notional value $X (is my understanding correct?). If yes, then it seems that the instrument I described is really, a callable "perpetual" bond?. It is still not clear to me how to price the instrument - could you please be more explicit?. Its been a while since I did any FM/pricing stuff so please bear with me being slow .. |
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Nov 30 |
awarded | Student |
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Nov 30 |
asked | How would I value a perpetual bond with an embedded option? |
