meta user
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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 7 months |
| seen | Dec 18 '12 at 17:04 | |
| stats | profile views | 14 |
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Nov 24 |
answered | Setting the r in put-call parity? |
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Nov 16 |
comment |
Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky "Take a dice." Maybe it's one of my pet peeves, but I almost stopped reading there. Dice are plural. Die is singular. :-( |
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Nov 15 |
comment |
Why is the CAPM securities market line straight? Thank you! You've explained it very well for me. Sorry, not registered can't upvote for now. |
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Nov 15 |
awarded | Scholar |
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Nov 15 |
accepted | Why is the CAPM securities market line straight? |
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Nov 15 |
awarded | Student |
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Nov 15 |
comment |
Why is the CAPM securities market line straight? Fama French has more factors, but it's still a straight-line model. |
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Nov 15 |
asked | Why is the CAPM securities market line straight? |
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Nov 14 |
revised |
Skewness and Kurtosis under aggregation the last formula for ex. kurtosis is wrong; trivial edit, but very important. |
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Nov 14 |
suggested | suggested edit on Skewness and Kurtosis under aggregation |
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Nov 13 |
comment |
How do you explain the volatility smile in the Black-Scholes framework? @JoeCoderGuy You might want to check this article out: Shalom Benaim and Peter Friz. Smile Asymptotics II: Models with Known Moment Generating Functions. Journal of Applied Probability , Vol. 45, No. 1 (Mar., 2008), pp. 16-32 |
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Nov 10 |
comment |
How do you explain the volatility smile in the Black-Scholes framework? I have to disagree that down-side return volatility is much higher than up-side return volatility---historical returns are in fact negatively skewed, but only slightly. If you look at actual data, you will find many extreme upside moves to balance the downside. |
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Nov 10 |
comment |
How do you explain the volatility smile in the Black-Scholes framework? The double-sided exponential distribution happens to be the fattest-tailed distribution that has a moment-generating function---but just barely---its mgf has vertical asymptotes which may impair one's ability to derive an equivalent martingale distribution (of the same exponential family) suitable for pricing options as in the Black-Scholes model. |
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Nov 10 |
comment |
How do you explain the volatility smile in the Black-Scholes framework? Just did what you said --- I was curious myself --- the returns are quite leptokurtic, not normal. |
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Nov 10 |
revised |
How do you explain the volatility smile in the Black-Scholes framework? response to coder guy |
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Nov 9 |
answered | How do you explain the volatility smile in the Black-Scholes framework? |
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Nov 5 |
awarded | Commentator |
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Nov 5 |
comment |
How do I evaluate the suitability of a GARCH model? That's for the simplest AR model. You're looking for the smallest possible q that adequately explains the data with any given model. That's all. |
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Nov 5 |
answered | How do I evaluate the suitability of a GARCH model? |
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Nov 2 |
answered | How to calculate compound returns of leveraged ETFs? |
