John Tyree
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 Feb 14 comment Why is C++ still a very popular language in quantitative finance? You don't find C++ to be full of "needless complexities, obstructions, irregularities, dead ends, unexpected stupidities, counterintuitive rules, and lazy, dumbass assumptions." ? Maybe you're thinking of C and extrapolating. Sep 28 comment Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @BrianB I think you are right. I have solved the issue of the models not giving consistent answers, which turned out to be due some inconsistencies in treatment of variance vs volatility in the inputs. I have not yet, however, shown analytically how Heston degenerates to BS. I'll look for that book. Thanks. Sep 4 comment Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @vanguard2k, Any luck? I am going to try today to work it out as well. Aug 30 comment Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @vanguard2k No problem. Thanks for the effort to answer after a long day :) Am I to understand then, that your first response doesn't apply at all? Aug 30 comment Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @vanguard2k, Am I missing something? How is $dv_t = 0$ maintained if $v_0$ is nonzero and $\sigma > 0$? Clearly if $v_0 = 0$ and $dv_t = 0$ we're just left with the forward price, but that violates the $>0$ restriction you mentioned, no? May 19 comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Ahhh of course. Ok I am pretty clear on it now. Thanks. May 18 comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? I'm still not clear on why we consider the dividends to be reinvested in the asset under Q and also why reinvesting them results in (r-delta). May 18 comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Ok I think I understand now. The drift is not 0, but it will be incorporated into the process X under Q, such that the SDE will always take the form that you described with (r-delta). May 18 comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Also, when you say that "S follows a gBm if it satisfies the well-known dS/S SDE, drift non-zero...", I assume you are referring to dS/S = mu dt + sig dz, but why does this stop being gBm if mu = 0? May 18 comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? So if I am understanding you correctly here, the dividend payments will result in the stock drifting higher under Q than it would without them: (r+delta) instead of (r-delta)? I don't see how that works. Taking the dividends out of the stock should lower the value of the stock right? If they are being reinvested into the stock, our portfolio will reflect that we own more shares, but I don't see why the value of the stock should also be going up.