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23h
comment How to show that this exponential utility function is wealth-independent?
Shouldn't you maximize expectation with respect to $w$, not $x$?
23h
comment How to show that this exponential utility function is wealth-independent?
I think the exercise is looking for a demonstration even without assuming a distribution for $x$.
1d
revised How to show that this exponential utility function is wealth-independent?
added 26 characters in body; edited title
Sep
2
revised How to calculate yield spread?
edited title
Sep
2
comment How to calculate yield spread?
Could you add the source of the question for reference's sake?
Sep
2
comment Given cash flows, what is the interest rate of the following contract?
This question is too basic to be on-topic for this site dedicated to quant-finance professionals, so I have to close it. However, the answer provided is good and you should be careful the way you annualize your interest rate (use compounding).
Sep
2
revised Given cash flows, what is the interest rate of the following contract?
edited title
Sep
1
revised How to get around flat likelihood function when calibrating GBM parameters?
added 7 characters in body; edited title
Sep
1
comment Why does changing the time step size in my Monte Carlo simulation change my result a lot?
I added the link to the book in question, but it would be good if you explained what you are trying to price (I guess a call option), using what model (I guess GBM). As the code is probably quite simple, you could have posted it as well in your question, which would have helped.
Sep
1
comment Why does changing the time step size in my Monte Carlo simulation change my result a lot?
I'd go for 2), he's probably no scaling the volatility of the steps correctly, which makes the underlying asset is far too volatile and hence the price of the option (I guess?) becomes higher.
Sep
1
revised Why does changing the time step size in my Monte Carlo simulation change my result a lot?
added 182 characters in body; edited title
Sep
1
comment Portfolio Strategies Project
If there are no free lunches, then calls are not cheaper than their theoretical price (that would be the free lunch).
Aug
31
revised How to calculate the estimation error of portfolio variance using propagation results?
edited title
Aug
31
revised Why is the value of debt modeled as a short put option in Merton's model?
added 24 characters in body
Aug
31
comment Why is the value of debt modeled as a short put option in Merton's model?
I missed this on as this is off-topic since this site is dedicated to quant-finance professionals who would know the intuition behind it. Since it has been answered, I'll not delete/close it.
Aug
31
revised Why is the value of debt modeled as a short put option in Merton's model?
deleted 7 characters in body; edited title
Aug
31
comment Why is the value of debt modeled as a short put option in Merton's model?
You should extract the answer from the paper and include it in the answer, otherwise this should be a comment. We're trying to have answers that contain as much information as possible in order not to depend on links as much as possible.
Aug
31
revised How to interpret negative asset volatility numerical results in Merton model?
edited title
Aug
31
answered Portfolio Strategies Project
Aug
26
answered How are netting sets determined for CVA calculation?