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Jun
20
comment How to use calibrated Standard Stochastic Volatility?
Why don't you simulate the two assets between which you want to see the spread using their own model (could be the one described above) and then simply compute the spread as the difference between them?
Jun
19
comment How to use calibrated Standard Stochastic Volatility?
With this model, you have $p_t = p_{t-1} \exp(y_t)$, and this means that if $p_t$ is the price of the spread (as I think you do), then it will never change sign.
Jun
18
comment How to use calibrated Standard Stochastic Volatility?
Please make acronyms like PMCMC explicit or provide a link. Where did you get this volatility model from? Did you estimate an $x_0$ as well or do you assume $x_0 = 0$? You're assuming that the spread is always positive here, it this what you want?
Jun
18
comment Price of an American call option
"Analyze the price" is too vague to be answered properly here. What are you looking to express? Please rephrased you title as a question and make it specific in the description; we will then reopen the question.
Jun
16
comment How to tackle this exercise about Ito's formula?
You'll need to comment what you do at each step if you want to help him understand the solution.
Jun
16
comment How to tackle this exercise about Ito's formula?
@muffin1974 as he's stuck with the integral, I guess he doesn't know where to start so I can understand why he wrote the question this way. But providing the hint is really good.
Jun
16
comment Can Gaussianity of returns depend on the time frame?
@noob2 please be constructive in comments. Rhetorical questions are never as clear as a gentle explanation of your point, and they can be offensive. Thanks
Jun
16
comment Can Gaussianity of returns depend on the time frame?
Don't leptokurtic and fat-tailed mean the same thing? Usually, it's better to give paper names rather that advising to go on some search engine and search for a term (although here the term is useful and part of the answer). The second part of your answer would benefit from citations as these are quite important "assertions" (I'm not saying they're wrong).
May
22
comment How to effectively hedge a Fixed-Term deal in a foreign currency?
arf you're right, I was trying to simplify my problem too much. In my case the hedge is in USD, so it's not a perfect hedge. It makes things more complicated...
May
7
comment How to infer correlation?
I'm sorry Richard, I didn't get your last comment. Were you referring to method 1) by saying "by using MC"?
May
5
comment How to infer correlation?
Since I know nothing about the relation of $F$ and the other assets so how can I know the exact covariance?
May
5
comment How to infer correlation?
But is there any advantage compared to version 1)?
May
5
comment How to infer correlation?
If I assume $\epsilon$ is uncorrelated, then following your equation $ \rho_{F,i} = \frac{Cov(F,r_i)}{\sigma_F \sigma_i} = \beta \frac{ Cov(r_m,r_i)}{\sigma_F \sigma_i}$. Replacing $\beta = \rho_{F,m} \frac{\sigma_F}{\sigma_m}$, you get $ \rho_{F,i} = \rho_{F,m} \frac{ Cov(r_m,r_i)}{ \sigma_m \sigma_i} = \rho_{F,m} \rho_{i,m} $ right?
Apr
10
comment Source for Normalized File of ETF Holdings
We're trying to have all data sources question in the same thread and to avoid create new ones.
Apr
10
comment Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
Please be straight to the point when answering, it's just clearer for everybody.
Mar
20
comment dividend cash in month
This site is dedicated to quantitative finance professionals, see help center.
Mar
19
comment How to compute the conditional expected value of a geometric brownian motion?
Correct me if I'm wrong, but $\mathbb{E}[X|X<z] \neq \mathbb{E}[X\mathbb{I}_{X<z}]$ right? The first being conditional expectation and the second being called partial expectation apparently?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
Well then isn't that the definition of conditional expectation?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
Ok then I changed it back, but aren't you looking to compute the expectation of the return give the return is below $z$?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
I think conditional expection is a more usual way to describe this.