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| bio | website | |
|---|---|---|
| location | Provo, UT | |
| age | ||
| visits | member for | 5 months |
| seen | Jun 11 at 22:02 | |
| stats | profile views | 17 |
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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. |
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Mar 20 |
asked | Correlation Sensitivity |
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Mar 18 |
accepted | Calculate the expectation of a shift CDF |
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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 $F_{X+a}(X+a)$ |
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Mar 14 |
revised |
Calculate the expectation of a shift CDF added 60 characters in body |
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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. |
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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. |
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Mar 12 |
comment |
Calculate the expectation of a shift CDF @Richard I showed my methods for F(X). |
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Mar 12 |
revised |
Calculate the expectation of a shift CDF added 4 characters in body |
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Mar 12 |
revised |
Calculate the expectation of a shift CDF added 4 characters in body |
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Mar 12 |
asked | Calculate the expectation of a shift CDF |
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Mar 4 |
answered | Implementing a Fast Fourier Transform for Option Pricing |
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Mar 2 |
revised |
Good Model Calibration Books/Papers for Common Option Pricing Models edited title |
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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? |
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Mar 2 |
revised |
Good Model Calibration Books/Papers for Common Option Pricing Models added 195 characters in body |
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Mar 2 |
asked | Good Model Calibration Books/Papers for Common Option Pricing Models |
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Jan 25 |
accepted | How do we use option price models (like Black-Scholes Model) to make money in practice? |
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Jan 15 |
awarded | Scholar |
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Jan 15 |
awarded | Nice Question |
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Jan 15 |
awarded | Teacher |
