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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?
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