meta user
network profile
| bio | website | dcsc.tudelft.nl/~itkachev |
|---|---|---|
| location | Leiden, Netherlands | |
| age | 25 | |
| visits | member for | 2 years, 2 months |
| seen | 2 days ago | |
| stats | profile views | 135 |
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Mar 31 |
revised |
Software for decomposing structured products into plain vanilla products deleted 2 characters in body |
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Mar 31 |
comment |
Software for decomposing structured products into plain vanilla products @vonjd. Please, write my nick properly. What I can suggest - is that if you wanna the perfect fit, you have to consider only exotic payoffs which are piece-wise linear, so on any fixed interval they will have a slope. E.g. call option with a strike $K$ can be encoded as $(0,0,K,1)$ where first value - is a value for $S=0$, second value is a slope after $S=0$, third value is a point of new slope, forth value is a slope after that point. |
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Mar 31 |
answered | Risk neutral probability in binomial lattice option coming greater than 1…what's wrong? |
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Mar 31 |
awarded | Editor |
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Mar 31 |
comment |
Software for decomposing structured products into plain vanilla products @vonjd - I've edited my answer. |
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Mar 31 |
revised |
Software for decomposing structured products into plain vanilla products added 965 characters in body; added 87 characters in body |
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Mar 31 |
comment |
Software for decomposing structured products into plain vanilla products @vonjd - I don't want to hide anything - just I thought it can be more convenient to discuss it by e-mails. |
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Mar 30 |
comment |
Software for decomposing structured products into plain vanilla products @vonjd - it was clear. Ok, so we should talk about two questions which I left in my answer. If I can leave here my e-mail, or there are private messages? |
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Mar 30 |
comment |
Software for decomposing structured products into plain vanilla products I cannot get, how they can plot $\frac{169}{S}$ like a linear function. Edited: they even cover it with a put. Wow. It's a kind of magic. Edited: "This payoff exactly replicates the payoff of the structure." Indian mystery... |
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Mar 30 |
comment |
Risk neutral probability in binomial lattice option coming greater than 1…what's wrong? could you please five a reference to this formula in the literature? It seems that this is an approximation of probability in the sense, that it can be $<1$ only under some conditions, not always. |
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Mar 30 |
answered | Software for decomposing structured products into plain vanilla products |
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Mar 24 |
answered | What are binomial trees and how are they used? |
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Mar 24 |
answered | Is statistical arbitrage on FX possible? |
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Mar 24 |
comment |
Is statistical arbitrage on FX possible? Random walk with jumps is meaningless. Random walks are for discrete time so they have only jumps. |
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Mar 22 |
answered | How to perform risk factor calculation? |
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Mar 22 |
answered | Using Black-Scholes equations to “buy” stocks |
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Mar 22 |
awarded | Commentator |
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Mar 22 |
awarded | Scholar |
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Mar 22 |
awarded | Supporter |
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Mar 22 |
accepted | Discrete-time model: stock dynamics |
