nkhuyu
Reputation
245
Top tag
Next privilege 250 Rep.
 Apr12 awarded Autobiographer Jan15 awarded Yearling Dec3 awarded Popular Question Mar20 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. Mar20 asked Correlation Sensitivity Mar18 accepted Calculate the expectation of a shift CDF Mar14 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 $F_{X+a}(X+a)$ Mar14 revised Calculate the expectation of a shift CDF added 60 characters in body Mar12 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. Mar12 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. Mar12 comment Calculate the expectation of a shift CDF @Richard I showed my methods for F(X). Mar12 revised Calculate the expectation of a shift CDF added 4 characters in body Mar12 revised Calculate the expectation of a shift CDF added 4 characters in body Mar12 asked Calculate the expectation of a shift CDF Mar4 answered Implementing a Fast Fourier Transform for Option Pricing Mar2 revised Good Model Calibration Books/Papers for Common Option Pricing Models edited title Mar2 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? Mar2 revised Good Model Calibration Books/Papers for Common Option Pricing Models added 195 characters in body Mar2 asked Good Model Calibration Books/Papers for Common Option Pricing Models Jan25 accepted How do we use option price models (like Black-Scholes Model) to make money in practice?