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seen Aug 20 at 22:49

Aug
20
answered What is the effect of dividend yield being greater than the risk-free rate to American options pricing?
Nov
5
asked Trouble arriving at Black-Scholes Formula
Sep
27
comment Delta in Covered Calls?
yes, think of a buy/write as a short put (they're the same thing except for stock rate risks)
Sep
19
asked Calculating the error of a Trinomial Model
Sep
17
comment Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
the question at hand as I read it is figuring out "whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract" he asked nothing of the execution risks and operational aspects behind performing the arbitrage...
Sep
16
answered Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
Jul
2
answered Beta vs. Implied Volatility statistical arbitrage using options
Jun
25
awarded  Supporter
May
16
awarded  Teacher
May
16
comment Add transaction costs to prediction
Yea should be abs(pred)*trans and abs(pred/(1+d_price)*trans. Otherwise your opening transaction cost won't affect your second, at least with any broker that I've ever heard of...
May
16
answered Add transaction costs to prediction
May
15
comment Distribution of profit/loss for retail traders in FX
That "90% of retail investors" lose money in FX markets seems a bit anecdotal to me. I haven't seen any literature on this and I don't think you would easily be able to find it because it would either have to come from the investors which would introduce a multitude of biases in the data or their brokers which I would imagine is illegal in some way or another.
May
3
comment Interpolate option volatility in delta space in R
Just use absolute value of delta?
Apr
9
comment Iterating through every path of a Trinomial Tree
Great. Thanks a lot I appreciate it.
Apr
9
comment Iterating through every path of a Trinomial Tree
Yea that looks like what I want I will extend it to loop through every possible ending point. I am not familiar with Python and can't seem to figure out what the statement path+[1] does. I am trying to implement this in c++ and it I am unsure how your code would do anything else besides add an element to an array with a 1 in it until there are 5 and then stop. Thanks again.
Apr
9
awarded  Editor
Apr
9
revised Iterating through every path of a Trinomial Tree
added 570 characters in body
Apr
9
awarded  Student
Apr
9
asked Iterating through every path of a Trinomial Tree