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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 5 months |
| seen | 13 hours ago | |
| stats | profile views | 33 |
equity/index options trader; masters in financial engineering; masters in applied mathematics
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Jan 14 |
answered | What are the advantages/disadvantages of these approaches to deal with volatility surface? |
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Jan 13 |
answered | Why is short term implied volatility typically higher? |
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Jan 4 |
comment |
BS and delta hedging questions interesting. did not know that even under stochastic vol bachelier and bs are that close |
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Jan 2 |
comment |
BS and delta hedging questions @Freddy, assume interest rates 0, dividend 0, then $value = SN(D1) - KN(D2) $ in geometric brownian motion. and S=K $value \approx S(N(0) + N'(0) * d1) - K(N(0) + N'(0) * d2)$ by 1st order taylor expansion $value \approx S(1/2 + \frac{\sigma\sqrt{T}}{2\sqrt{2\pi}})- K(1/2 - \frac{\sigma\sqrt{T}}{2\sqrt{2\pi}})$, since S=K $value \approx \frac{S\sigma\sqrt{T}}{\sqrt{2\pi}}$, since $1/\sqrt{2\pi} \approx 0.4$, $value \approx .4*S\sigma\sqrt{T}$. again, still gbm |
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Jan 2 |
comment |
BS and delta hedging questions @Freddy, I am saying that for the .4*S*$\sigma * \sqrt{T}$, this derivation comes from B-S value of a call/put. if you assume 0 interest rates, you can taylor expand it and you will see this result and as you noted, B-S follows geometric brownian motion. so it should be the asset price follows geometric brownian motion |
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Dec 31 |
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BS and delta hedging questions actually, asset prices do not follow arithmetic brownian motion in .4 *S*$\sigma * \sqrt{T}$, it is still geometric brownian motion. just do a simple taylor expansion on B-S formula and you will see |
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Dec 27 |
answered | What is the instantaneous P&L of a Variance Swap? |
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Dec 23 |
comment |
Trading a synthetic replication of the VVIX (volatility of VIX) vix is mean reverting but vol of vol does not seem to be mean reverting. std is well known to decay at ~$\frac{1}{\sqrt{t}}$ |
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Dec 23 |
answered | Trading a synthetic replication of the VVIX (volatility of VIX) |
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Dec 23 |
awarded | Supporter |
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Dec 23 |
comment |
easy one step option replication please read the new answer below |
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Dec 23 |
answered | Trading a synthetic replication of the VIX index |
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Dec 23 |
answered | easy one step option replication |
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Dec 23 |
comment |
easy one step option replication The reason this is because, we can hedge out uncertainty by using the stock. |
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Dec 22 |
answered | easy one step option replication |
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Dec 17 |
comment |
Kalman Filter Equity Example a Kalman Filter is built into the Kyle-model. Implementing the settings for the kyle model will give you a great example of how some market makers actually trade as well as some intuition of real financial markets using kalman filter |
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Dec 15 |
awarded | Teacher |
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Dec 15 |
answered | How to improve the Black-Scholes framework? |
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Dec 15 |
answered | Kalman Filter Equity Example |
