network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 3 months |
| seen | 2 hours ago | |
| stats | profile views | 5 |
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Apr 24 |
answered | In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$? |
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Apr 23 |
revised |
Mean-variance minimizser changed to the right latex commands |
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Apr 23 |
comment |
Mean-variance minimizser The whole first line does not make sense. On the LHS you have a measure $Q^*$ and on the right $\min_{M_e}E_Q[V(T)-F(\omega)]^2$. And what should $u$ be? The expression you want to minimize does not depend on $u$! Furthermore, in the definition of $F(\omega)$, is it meant to be $F(\omega)=(e^{\sigma B_T(\omega)+(r-\frac{1}{2}\sigma^2)T}-K)$? So it should be an $\omega$ instead of $w$? |
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Apr 23 |
suggested | suggested edit on Mean-variance minimizser |
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Apr 23 |
comment |
Auto-correlation of GBM You're welcome. I'm glad if I could help. |
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Apr 16 |
comment |
SDE(s) satisfied by Radon-Nikodym derivatives of certain martingale measures Are $r,\mu, \sigma$ deterministic functions? |
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Apr 11 |
comment |
Auto-correlation of GBM @RPG Sorry, but I do not get your point. In general $S_t$ and $S_r$ are not independent. Furthermore, you ask what $Cov(S_t,S_r)$ is. I'm sorry if I misunderstood your question. |
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Apr 10 |
awarded | Editor |
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Apr 10 |
revised |
Auto-correlation of GBM deleted 8 characters in body |
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Apr 10 |
awarded | Teacher |
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Apr 10 |
answered | Auto-correlation of GBM |
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Feb 7 |
awarded | Supporter |
