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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?
Mar
4
reviewed No Action Needed Why should we expect geometric Brownian motion to model asset prices?
Mar
3
comment What to use as portfolio diversification measure?
You could add the title and the name of the authors of the paper, it would be nice for them...
Mar
3
comment What to use as portfolio diversification measure?
I strongly disagree with the fact that the equally-weighted portfolio is perfectly diversified. If you assume that, then indeed your diversification measure should be the distance to that portfolio. But that would just be wrong in my opinion, and if you choose another measure you should expect the most-diversified portfolio, according to that measure, not to be the equally-weighted portfolio.
Mar
3
revised What to use as portfolio diversification measure?
added 16 characters in body; edited title
Mar
3
comment How to calculate implied volatility smile of basket using correlations?
What are your $\sigma_1$ and $\sigma_2$? The implied volatilities of two options for the same strike but on different underlyings? And you're trying to estimate the implied volatility of a basket with one of each option?
Mar
3
comment How to calculate implied volatility smile of basket using correlations?
Please make sure to take some time to do some formatting next time. I almost closed it as it was barely understandable. Please refrain from using abbreviations and use mathematical notation if possible.
Mar
3
revised How to calculate implied volatility smile of basket using correlations?
added 10 characters in body; edited title
Mar
3
comment Does a call calendar lose its entire value if underlying increases well past the strike?
Does it have to be higher than 5 strictly speaking? I mean if \sigma is very very low, then the value of the option is roughly the discounted value of $(K-S)^+$ right? But I agree, in common situations (decent $\sigma$ and relatively low $r$) there will be enough extrinsic value for the long-dated option to have more value than the short-dated one.
Mar
3
comment Does a call calendar lose its entire value if underlying increases well past the strike?
Ok, I edited it again to make it cleaner. Please avoid abbreviation and try to use available formatting options to make it easier to read for the community.
Mar
3
revised Does a call calendar lose its entire value if underlying increases well past the strike?
added 71 characters in body
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.