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Mar
2
revised Are there industry standards form market data server and real time linux kernel?
edited title
Mar
2
comment Which interest rates to use for options pricing?
Do you mean that the value to be inputted in a BS pricer should not be the risk-free rate?
Mar
2
revised How to apply Elliott wave priciple to any Time Series?
rephrased as question
Mar
2
comment How to apply Elliott wave priciple to any Time Series?
I deleted you second answer and merged it with this one.
Mar
2
revised How to apply Elliott wave priciple to any Time Series?
merged two questions
Mar
2
revised Does a call calendar lose its entire value if underlying increases well past the strike?
edited title
Mar
2
comment Does a call calendar lose its entire value if underlying increases well past the strike?
I'm not really used to Calendar Spreads terminology, and might not be the only one here. You might get more answers if you just make the question a bit more formal like: 2 calls $c_1$ and $c_2$, with same underlying $S$, and describe maturities $T_1$, $T_2$ and strikes $K_1$, $K_2$ and you position in each of them (are you long the short-term one or long-term one?). This would also benefit the site in general
Mar
2
comment How to compute the VaR for European Call, using the delta-normal method?
I think @Kiwiakos has a point here, I'd also use real-world drift $\mu$ instead of $r$ here. I agree that the option price is calculated using drift $r$, but for risk purposes this is irrelevant I think.
Mar
2
revised How to compute the VaR for European Call, using the delta-normal method?
enhanced formatting, added link
Mar
2
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Mar
2
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Mar
2
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Mar
2
reviewed Excellent Why is there onshore and offshore currency?
Mar
2
reviewed Satisfactory How to compute the VaR for European Call, using the delta-normal method?
Mar
2
reviewed Excellent Black Scholes formula with continuous dividend paying stock
Mar
2
reviewed Satisfactory Deriving the definition of stochastic integrals with respect to Ito processes from first principles
Mar
2
reviewed Satisfactory When are implied and real world parameters the same?
Mar
2
reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Mar
2
reviewed Satisfactory Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Feb
27
reviewed Leave Open Does higher vega imply higher IV and vice versa