SRKX
Reputation
6,144
48/100 score
 Mar2 revised Are there industry standards form market data server and real time linux kernel? edited title Mar2 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? Mar2 revised How to apply Elliott wave priciple to any Time Series? rephrased as question Mar2 comment How to apply Elliott wave priciple to any Time Series? I deleted you second answer and merged it with this one. Mar2 revised How to apply Elliott wave priciple to any Time Series? merged two questions Mar2 revised Does a call calendar lose its entire value if underlying increases well past the strike? edited title Mar2 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 Mar2 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. Mar2 revised How to compute the VaR for European Call, using the delta-normal method? enhanced formatting, added link Mar2 reviewed Satisfactory How to obtain a log of all trades done on the Nasdaq or other major US exchange? Mar2 reviewed Satisfactory Is printing money really a bad thing? Mar2 reviewed Excellent CIR model: is the short rate really non-central $\chi^2$ distributed? Mar2 reviewed Excellent Why is there onshore and offshore currency? Mar2 reviewed Satisfactory How to compute the VaR for European Call, using the delta-normal method? Mar2 reviewed Excellent Black Scholes formula with continuous dividend paying stock Mar2 reviewed Satisfactory Deriving the definition of stochastic integrals with respect to Ito processes from first principles Mar2 reviewed Satisfactory When are implied and real world parameters the same? Mar2 reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix? Mar2 reviewed Satisfactory Some questions about implied volatilities and how to generate theoretical prices when market prices are not available Feb27 reviewed Leave Open Does higher vega imply higher IV and vice versa