Alexey Kalmykov
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 Apr4 reviewed Approve Stochastic modeling of stock price process Mar23 reviewed Approve Black-Scholes and Fundamentals Mar20 reviewed Approve Why the implied volatilities calculated are so different Mar18 comment Doesn't a perpetual option contradict the Black-Scholes framework? @Chan-HoSuh No, it wouldn't. You don't hold the same number of stock for arbitrary lengths of time. You continuously adjust it to make your portfolio of underlying and short option risk free. Mar18 comment Kolmogorov-Smirnov test @AnthonyMaster See quant.stackexchange.com/questions/341/what-is-a-martingale Mar18 comment Calculate the expectation of a shift CDF +1 Good solution. Mar17 comment Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing? @bytefire Geometric Brownian motion Mar16 answered Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing? Mar16 comment Doesn't a perpetual option contradict the Black-Scholes framework? @Chan-HoSuh You can hedge because you can continuously adjust the position in underlying, i.e. do dynamic hedging. Also note that in general you don't need a hedging strategy to get a price for a contingent claim. Mar15 reviewed Approve Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? Mar15 answered Doesn't a perpetual option contradict the Black-Scholes framework? Mar15 answered Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR Mar14 comment Doesn't a perpetual option contradict the Black-Scholes framework? Please describe your arbitrage strategy properly. Are you long put, short underlying? It's not clear at all from your question. Mar13 comment Calculate the expectation of a shift CDF @Richard Actually $X_1$ should be from $N(0,1)$ and $X_2$ should be from $N(0,\sigma^2)$ if I understood the problem correctly. Mar13 comment Calculate the expectation of a shift CDF @Richard Actually it should be fine if you take iid copy. Mar13 comment Calculate the expectation of a shift CDF @GoodGuyMike I optimized your code a bit and it seems to work. Well done! Mar13 revised Calculate the expectation of a shift CDF optimized matlab code Mar13 answered main arbitrage & statistical arbitrage concepts Mar13 answered Calculate the expectation of a shift CDF Mar11 comment Square root of time It doesn't hold for simple returns, i.e. $S_{t_2} - S_{t_1}$ is not normally distributed under assumption that $S$ is a Geometric Brownian Motion.