Christian Fries
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 Feb19 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 $p \geq 1$. Feb14 revised Implementing nonlinear optimization to find model free implied volatility using Matlab deleted 1 characters in body Feb14 answered Implementing nonlinear optimization to find model free implied volatility using Matlab Feb12 awarded Enthusiast Feb9 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. Feb8 awarded Informed Feb8 answered Why doesn't a simulated delta hedging process go to zero? Feb1 awarded Commentator Feb1 answered How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) Jan28 revised Simulation of GBM added 15 characters in body Jan28 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. Jan28 revised Simulation of GBM added 48 characters in body Jan28 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! Jan28 revised Simulation of GBM deleted 7 characters in body Jan28 answered Simulation of GBM Jan26 revised How to quickly sketch a second order greek profile for a vanilla position? added 22 characters in body Jan26 answered How to quickly sketch a second order greek profile for a vanilla position? Jan23 awarded Critic Jan22 revised How to avoid having negative volatility when applying Heston model? added 1 characters in body Jan22 answered How to avoid having negative volatility when applying Heston model?