Reputation
1,101
Top tag
Next privilege 1,250 Rep.
Create tag synonyms
Badges
4 12
Newest
 Nice Answer
Impact
~60k people reached

Feb
19
answered Upper bound concerning Snell envelope
Feb
19
comment Upper bound concerning Snell envelope
Can you please define the set below ess sup. Is the the set of all stopping times? Also, what is p? Do we have $p \geq 1$.
Feb
14
revised Implementing nonlinear optimization to find model free implied volatility using Matlab
deleted 1 characters in body
Feb
14
answered Implementing nonlinear optimization to find model free implied volatility using Matlab
Feb
12
awarded  Enthusiast
Feb
9
comment Why doesn't a simulated delta hedging process go to zero?
In addition a big effect comes from the difference in volatitly. The geometric brownian motion with vol 100% (which is by the way quite large) in your BS delta assumption has approx. 100 time the vol of S(t) (since S is normal and S(0) is 100. Another thing which I found strange is that S(t) is evolved backward in time, but I did not dig deeper into your code.
Feb
8
awarded  Informed
Feb
8
answered Why doesn't a simulated delta hedging process go to zero?
Feb
1
awarded  Commentator
Feb
1
answered How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan
28
revised Simulation of GBM
added 15 characters in body
Jan
28
comment Simulation of GBM
One can view his equation as the Euler scheme for log(S). In that case discretization and exact soluation have no difference! The reason why one has to go in discrete steps in the way to generate W(t) from i.i.d. random variables.
Jan
28
revised Simulation of GBM
added 48 characters in body
Jan
28
comment Simulation of GBM
@gu7z Yes. In the formulation $W(t_j)−W(t_{j−1}) = Z_j$ the $Z_j$ is a normal distributed random variable with mean zero and variance $t_{j}-t_{j-1}$. But since I wrote that the Z_j are i.i.d. we have indeed to rescale them and write $W(t_j)−W(t_{j−1}) = \sqrt{t_{j}-t_{j-1}} Z_j$ (or otherwise assume equidistributed time stepping. I corrected that in my post!
Jan
28
revised Simulation of GBM
deleted 7 characters in body
Jan
28
answered Simulation of GBM
Jan
26
revised How to quickly sketch a second order greek profile for a vanilla position?
added 22 characters in body
Jan
26
answered How to quickly sketch a second order greek profile for a vanilla position?
Jan
23
awarded  Critic
Jan
22
revised How to avoid having negative volatility when applying Heston model?
added 1 characters in body