barrycarter
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 14h comment Calendar Arbitrage in a Vol Surface I'm missing something. Where you say -Y*exp(r*T1)*C(t2), do you mean BS where you say C? If not, I don't see why a call's price would always change by the risk-free interest rate (even if the underlying remained at the same price, there would be theta decay). I know you're assuming the same strike price, but if the underlying price drops, wouldn't C(t2) be considerably lower? 2d comment Is there any wordpress widget that i can add on my website for customized stocks? Migrate to WordPress Development, I suggest. May 1 comment What does it mean for an option strategy to be leveraged A strategy is 'leveraged' when a small change in the underlying results in a larger change in the portfolio. For example, if a stock goes from 100 to 101.5, it increases by 1.5%. If the at the money option jumps from 2 to 3, it's increases by 150%, a lot more. Apr 30 comment financial mathematics bond related problem Maybe try Mathematics Apr 28 comment calculating long short portfolios currency exposure I think they're talking about the interest rate. You pay interest on margin accounts, which are required for short selling. Apr 26 comment how to compute the call and put prices from the state-price vector? Tell us a little more about this matrix and vector? What are they measuring? Apr 21 comment Heston Model Maximum Return Distribution Hmmm, hadn't read that one carefully, you might be right. Apr 18 comment Qualitative properties of call First inequality: if not true, a lower strike call would be cheaper than a higher strike call. So sell the higher strike, buy the lower strike for a credit spread, and note that, regardless of closing price, the lower strike will never be worth less than higher strike. The third one is probably only true for American-style options and would involve creating a calendar spread. Not sure after the middle one. Apr 15 comment Beta in Capital Structure replace K with BETA? Apr 15 comment Heston Model Maximum Return Distribution quant.stackexchange.com/q/24970/59 doesn't answer your question, but may help. Essentially, you're asking for the chance a limit order at a given price will be filled. Apr 15 comment How we can use adjusted price in combination with price limit in a stock market? I'm not sure I understand your question completely, but the standard practice is to use the logarithms of the stock price and look at the differences. Apr 15 comment A question about spot rate forward rate and swap rate se.u.94y.info for a list of potential resources Apr 15 comment How to calculate price in non-competitive bidding that bidders will receive? What are the rules that India uses to determine non-competitive bidder pricing? Looking like right around the 75-80th percentile, but it would be best to find a source for this information and use that instead. Apr 15 comment How quants use models for stock market prediction Quick question: are you talking about predicting a stock's actual future price, or the range of prices (ie, as in volatility)? Apr 7 comment Counting random paths I assume you meant 3% is the risk-free interest rate, right? Also, show us the work you've done so far? Apr 5 comment Counting random paths How far have you gotten on your own? Apr 4 comment Estimate probability of limit order execution over a large time frame Erfc s 1-erf. erf^-1 means the inverse of the erf function. mathworld.wolfram.com/InverseErf.html Apr 2 comment Intraday return and volatility figures some sense check Actually, I meant could you 'edit' your question, not put the corrections in comments. Apr 2 comment Intraday return and volatility figures some sense check Any chance you could use TeX to cleanup the tables? Apr 1 comment Probability that realized volatility is larger than implied volatility Are you defining implied volatility from the at-the-money options or the in/out-of-money options which have a higher implied volatility thanks to the en.wikipedia.org/wiki/Volatility_smile. But the real question is: how are you defining realized volatility?