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Mar
6
comment How to price exotic options using Monte-Carlo?
It is claimed that... where did you see that? because I'm not sure what you mean by using log values. Plus, what are you looking for exactly? Implementation of Monte-Carlo methods for geometric Asian and discrete barrier options? Or some example relating to your claim?
Mar
6
revised How to price exotic options using Monte-Carlo?
removed courtesies, rephrased as question
Mar
6
comment What does tradable asset mean?
Why would bank deposits be more tradable than S&P futures? You mean cash?
Mar
6
revised How to adjust historical data highs/lows for splits and dividends?
rephrased as question, formatting, removed courtesies
Mar
6
revised How to estimate parameters of geometric brownian motion with time-varying mean?
added 6 characters in body
Mar
6
comment Where can one find realistic historical transaction costs?
We usually group all data in this question, but this specific request is interesting and quite uncommon so I'll leave it open see what the community thinks
Mar
6
revised Where can one find realistic historical transaction costs?
removed courtesies, improved formatting
Mar
5
comment How to assess stock price movement from implied volatility?
@Richard yeah I mean he has to estimate $\mu$ historically or get it somewhere obviously...
Mar
5
comment How to assess stock price movement from implied volatility?
I'm not sure I understand the "trick". One important thing though: the answer is only correct if the expected return of the stock is $\mu=0$, other wise he needs to add $\mu$ to +/- his result.
Mar
5
revised How to assess stock price movement from implied volatility?
added 82 characters in body; edited title
Mar
5
comment How to assess stock price movement from implied volatility?
It's the last time I let you post question with bad formatting. I already asked you nicely to pay attention in your last question. Next one like this will result in a ban.
Mar
5
comment How to estimate parameters of geometric brownian motion with time-varying mean?
What is the assume correlation between $B_\mu$ and $B_x$?
Mar
5
comment How to estimate parameters of geometric brownian motion with time-varying mean?
Also, it would be interesting to see where you got this model from (or did you come up with it)? Didn't this source provide any clues on how to calibrate? What have you tried so far?
Mar
5
revised How to estimate parameters of geometric brownian motion with time-varying mean?
retagged
Mar
5
comment How to estimate parameters of geometric brownian motion with time-varying mean?
Please have a look at what I did to make sure your math formatting appears properly next time.
Mar
5
revised How to estimate parameters of geometric brownian motion with time-varying mean?
added 25 characters in body
Mar
4
reviewed Reviewed How to implement an Interest rate neutral strategy using options?
Mar
4
comment How to implement an Interest rate neutral strategy using options?
You should describe what's in both ETF and probably post links to product description since you're citing them. Moreover, you should add where your backtest results come from, how you came to the conclusion that you were still exposed to interest rate, and so on.
Mar
4
revised How to implement an Interest rate neutral strategy using options?
added 3 characters in body; edited title
Mar
4
reviewed No Action Needed Why should we expect geometric Brownian motion to model asset prices?