153 reputation
7
bio website john.bitsurge.net/blag
location Austin, TX
age 27
visits member for 2 years, 4 months
seen Mar 11 at 0:32

Just trying to learn something useful.


Aug
30
revised Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?
Forgot square root of variance in the BS solution.
Aug
30
revised Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?
Added conclusion blurb about P2. Fixed typo.
May
18
revised How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
Added some new findings about the effect of dividends on the drift.