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| bio | website | |
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| age | ||
| visits | member for | 1 year, 1 month |
| seen | May 6 at 22:36 | |
| stats | profile views | 8 |
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Apr 19 |
answered | How to synchronize put and call option-data? |
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Apr 19 |
revised |
Can you replicate an option on an arbitrary basket of stocks? added 7 characters in body |
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Apr 19 |
revised |
Can you replicate an option on an arbitrary basket of stocks? deleted 113 characters in body |
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Apr 19 |
comment |
Can you replicate an option on an arbitrary basket of stocks? Do you mean you expect the strategy to usually have no correlation risk? Well the point of trading an option on a basket is to create a position in their covariance matrix. Just as the point of trading an option on a single asset is to create a position in the asset's variance (albeit in terms of implied volatility). A covariance matrix is to a basket as scalar variance is to a single asset. That said I imagine you could hedge it to some extent with an option spread. |
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Apr 18 |
revised |
Call option arbitrage opportunity deleted 8 characters in body |
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Apr 18 |
revised |
Call option arbitrage opportunity added 9 characters in body |
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Apr 18 |
revised |
Call option arbitrage opportunity added 9 characters in body |
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Apr 17 |
revised |
Can you replicate an option on an arbitrary basket of stocks? added 31 characters in body |
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Apr 17 |
revised |
Can you replicate an option on an arbitrary basket of stocks? added 31 characters in body |
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Apr 17 |
revised |
Can you replicate an option on an arbitrary basket of stocks? added 254 characters in body |
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Apr 17 |
awarded | Editor |
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Apr 17 |
revised |
Can you replicate an option on an arbitrary basket of stocks? added 254 characters in body |
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Apr 17 |
awarded | Teacher |
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Apr 17 |
awarded | Supporter |
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Apr 17 |
answered | Call option arbitrage opportunity |
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Apr 17 |
answered | Can you replicate an option on an arbitrary basket of stocks? |
