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Apr
16
awarded  Yearling
Apr
16
answered Method for finding a arbitrage opportunity when market price of call is incorrect
Apr
7
comment Call vs. Put Option
Regarding the put/call parity for the ATM and r=0 case, here is why is it intuitive: In the first case you have an option to buy the Thing in the future at its current price S (call). In the second price you are promised to receive the Thing at its current price S (forward) and you have an option to refuse it (sell it back at the same price S) (put). These two situations are clearly the same, regardless of what the Thing is, what are its price dynamics and whatever else.
Mar
20
awarded  Critic
Feb
11
awarded  Nice Answer
Feb
9
comment Simulating Stock's close, high and low prices
He is proposing just to generate stock prices with more nodes (multiple nodes per day), and just calculate the open, high and low from them. There is an additional decision you will have to make - how many nodes (or how big volatility) will you simulate during the night (between close and open) so that they differ.
Jan
5
awarded  Commentator
Jan
5
comment Can a null be inconclusive?
Oh, I probably did not understand you correctly and I am not sure now, but: it cannot happen that the two do not agree. P-value is satisfied (low enough) only when the test statistic is outside the critical levels. If it does not happen for you, check your calculations.
Jan
5
revised Can a null be inconclusive?
added 4 characters in body
Jan
5
answered Can a null be inconclusive?
Nov
27
awarded  Editor
Nov
27
revised Does it make sense to use upward and downward volatility in option pricing?
Factual correction
Nov
26
answered Does it make sense to use upward and downward volatility in option pricing?
Oct
13
awarded  Popular Question
Sep
4
awarded  Yearling
Sep
1
answered What kind of front end/ gui is used with trading applications?
Apr
24
comment Volatility arbitrage - how is the profit extracted?
@evan_irl You are right that the implied volatility is not obligated to be coupled with the observed. But without the ability to liquidate the option position on the option market, you still can have a statistical advantage of gaining profit in case your bet on volatility was more correct than the implied volatility at which you traded. And you can do so by doing pure underlying trading.
Apr
24
comment Volatility arbitrage - how is the profit extracted?
There is this additional subtlety, whether to compute the greeks and values according to implied volatility or according to your expected (true) volatility. In the former case, you portfolio value at the beginning is zero, and you gain money over time. In the latter case, your portfolio starts with positive value and keeps it stable.
Apr
24
answered Volatility arbitrage - how is the profit extracted?
Apr
14
awarded  Supporter