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Oct
20
comment What is the correlation between these two functions of GBMs?
And then $dZ_t dW^A_t = ( \frac{\sigma^A }{\bar{\sigma}} + \frac{ \sigma^R }{\bar{\sigma}} \rho ) dt$? So the correlation to be used withing Margrabe's formula is $\frac{\sigma^A }{\bar{\sigma}} + \frac{ \sigma^R }{\bar{\sigma}} \rho$?
Oct
20
comment Can I get Black-Scholes option price from greeks?
Oh but you can't expect your $\rho$ and $\delta$ to be the same for different $t$... You should add in your question a screenshot of what you want to improve.
Oct
20
comment How to handle missing data in time series in R?
ts is probably not the right package for you, have a look at this page for more info.
Oct
20
comment How to handle missing data in time series in R?
ok so it seems the data are repeated, and it seems you're original set only has about 300 points...
Oct
20
revised How to handle missing data in time series in R?
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Oct
20
comment How to handle missing data in time series in R?
Isn't the time series package already inputting missing data point for you? Or does it assume the last 397 are empty only? can you include a plot of this timeseries object in your question?
Oct
20
revised How to handle missing data in time series in R?
deleted 6 characters in body; edited tags; edited title
Oct
20
comment Can I get Black-Scholes option price from greeks?
That's right, but I'm not sure why you're doing it this way... IB's API is giving you all the greeks but not option price? That seems very weird doesn't it? Another thing you might want to consider is understand how they compute the greeks in the backstage.
Oct
20
revised Can I get Black-Scholes option price from greeks?
edited title
Oct
20
answered Can I get Black-Scholes option price from greeks?
Oct
20
comment Can I get Black-Scholes option price from greeks?
Shouldn't it be in that case $C=S \delta - \frac{\rho}{T}$???
Oct
20
revised Why is GARCH more often applied in risk analysis than stochastics?
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Oct
20
asked What is the correlation between these two functions of GBMs?
Oct
20
revised Why do we need $dS_t=r S_tdt+\sigma S_tdW_t^Q$?
added 6 characters in body
Oct
20
revised What is wrong in my non-linear estimation sample code?
edited tags
Oct
20
answered What is wrong in my non-linear estimation sample code?
Oct
20
revised What is wrong in my non-linear estimation sample code?
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Oct
19
revised Does No arbitrage(NA) imply efficient markets (EMH)?
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Oct
19
comment Does No arbitrage(NA) imply efficient markets (EMH)?
You link above seems broken, could you fix it?
Oct
15
revised Is the average of independent Brownian Motions still a Brownian Motion?
added 77 characters in body; edited tags; edited title