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seen Sep 1 at 10:17

Mar
20
reviewed Approve suggested edit on Why the implied volatilities calculated are so different
Mar
18
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.
Mar
18
comment Kolmogorov-Smirnov test
@AnthonyMaster See quant.stackexchange.com/questions/341/what-is-a-martingale
Mar
18
comment Calculate the expectation of a shift CDF
+1 Good solution.
Mar
17
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
Mar
16
answered Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
Mar
16
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.
Mar
15
reviewed Approve suggested edit on Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Mar
15
answered Doesn't a perpetual option contradict the Black-Scholes framework?
Mar
15
answered Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
Mar
14
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.
Mar
13
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.
Mar
13
comment Calculate the expectation of a shift CDF
@Richard Actually it should be fine if you take iid copy.
Mar
13
comment Calculate the expectation of a shift CDF
@GoodGuyMike I optimized your code a bit and it seems to work. Well done!
Mar
13
revised Calculate the expectation of a shift CDF
optimized matlab code
Mar
13
answered main arbitrage & statistical arbitrage concepts
Mar
13
answered Calculate the expectation of a shift CDF
Mar
11
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.
Mar
8
revised Comparing Cash Equivalent of risky portfolios
added 164 characters in body
Mar
8
comment Comparing Cash Equivalent of risky portfolios
@Omar Good question. In this particular paper the only reason I see is to make their numbers comparable with the results of other papers. Also note that CE are used for risk premia calculations. I will add this to my answer.