240 reputation
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location Provo, UT
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visits member for 1 year, 8 months
seen Feb 1 at 6:44

Jan
15
awarded  Yearling
Dec
3
awarded  Popular Question
Mar
20
comment Correlation Sensitivity
Formally, I am think it is call option written on $S_{1}+S_{2}$ and $Vol(S_{1}+S_{2}) \approx \sqrt{\sigma_{1}^2+\sigma_{2}^2+2*\rho*\sigma_{1}*\sigma_{2}}$, so when $\rho$ is increasing, then $Vol(S_{1}+S_{2})$ will become bigger, the price will be bigger.
Mar
20
asked Correlation Sensitivity
Mar
18
accepted Calculate the expectation of a shift CDF
Mar
14
comment Calculate the expectation of a shift CDF
@Quartz $F(x)$ is the CDF of a standard normal random variable, before I didn't say this clearly. So I think I am sure it is asking $F_{X}(X+a)$, not $F_{X+a}(X+a)$
Mar
14
revised Calculate the expectation of a shift CDF
added 60 characters in body
Mar
12
comment Calculate the expectation of a shift CDF
It seems that you assume that $X_{1}$ and $X_{2}$ are independent, but we need to assume they are the same random variable.
Mar
12
comment Calculate the expectation of a shift CDF
@John & Good Guy Mike: I agree 1/2 would be a good guess, but how to prove it.
Mar
12
comment Calculate the expectation of a shift CDF
@Richard I showed my methods for F(X).
Mar
12
revised Calculate the expectation of a shift CDF
added 4 characters in body
Mar
12
revised Calculate the expectation of a shift CDF
added 4 characters in body
Mar
12
asked Calculate the expectation of a shift CDF
Mar
4
answered Implementing a Fast Fourier Transform for Option Pricing
Mar
2
revised Good Model Calibration Books/Papers for Common Option Pricing Models
edited title
Mar
2
comment Good Model Calibration Books/Papers for Common Option Pricing Models
such as Black-Scholes Model, Stochastic Volatility Model(Heston), Jump-Diffusion Model, Hull-White Model and so on, all the models which are at a master level of Mathematical finance program. I want to know what are the most common methods of model calibration for these models?
Mar
2
revised Good Model Calibration Books/Papers for Common Option Pricing Models
added 195 characters in body
Mar
2
asked Good Model Calibration Books/Papers for Common Option Pricing Models
Jan
25
accepted How do we use option price models (like Black-Scholes Model) to make money in practice?
Jan
15
awarded  Scholar