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visits member for 2 years, 1 month
seen Jun 22 '13 at 16:38

Jan
6
comment Rubinsteins Implied Binomial Tree - how to calculate the cumulative returns
@ Freddy thanks for your answer, but "1+ cumulative risk-neutral return", what is that? Could you please do an example calculation in my case? So I am just reconstructing the paper, would be nice if you can show me this using this one.
Dec
31
comment BS and delta hedging questions
ok thanks @Freddy, but what is an arithmetic brownian motion? What is the difference to geometric brownian motion?
Dec
5
comment GBM 3d plot with R
big thanks, but your the code you posted (the long, which follows "generated by") is for what? It just calculates the density of a lognormal in a different way right? So if I inserv mu and sigma equal to 0.1 it is the same right? Thanks a lot again!
Dec
4
comment GBM 3d plot with R
thanks, but no: It does not look better. @Brian B
Nov
23
comment How to simulate a Merton Jump Diffusion process?
no @BlueTrin I mean, how can I do this in R? How can I simulate this in R? I do not know it, because the equation above with all the d's I cannot simulate and I do not understand what formula they use in their code?
Nov
23
comment How to simulate a Merton Jump Diffusion process?
mh, I am not clear what I have to do? @BlueTrin
Nov
22
comment How to simulate stock prices using variance gamma process?
any further help would be very appreciated - since I am stuck here.
Nov
22
comment How to simulate stock prices using variance gamma process?
@Ashwani Roy mh, well this is still not helping me
Nov
22
comment How to simulate stock prices using variance gamma process?
@ Ashwani Roy no, this is not an appropriate answer to my question, I did a GBM simulation already, now I want to do it with VG
Nov
22
comment How to simulate stock prices with a Geometric Brownian Motion?
@ Freddy mh, I am not a professional quant, I am studying msc statistics and want to work in financial industry, but my lectures in this topic at university really sucks, they do not explain anything and just kicking formulars, that's why I try to understand what the formula is really doing and the difference.....no, I did not do math before......
Nov
22
comment How to simulate stock prices with a Geometric Brownian Motion?
ok, thanks @SRKX