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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Sep 29 '12 at 19:09 | |
| stats | profile views | 30 |
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Apr 1 |
comment |
Risk neutral probability in binomial lattice option coming greater than 1…what's wrong? The first condition doesn't do any good either. Usually u~[1.001,1.5], and as I said in comment to quant_dev that by putting nColumn=1000, which gives del_T=0.02, then you can calculate that your given condition is satisfied, however the p is still greater than 1. |
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Apr 1 |
comment |
better estimator of volatility for small samples webs1.uidaho.edu/geoe428/files/GeostatSec7.pdf: You dont need to read all of it. Just get the idea of making a cut-off limit and using binary numbers 0 and 1 to populate your distribution. This way you can subdue the effect of outliers. |
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Apr 1 |
comment |
better estimator of volatility for small samples I am speaking from perspective in my application of reservoir engineering modeling. I am also aware of its usability and popularity from taking a course on Stochastic Modeling. Moreoever, I was comparing indicator transform with rank transform. Nevertheless, if you want a solution to your problem you might want to explore what a sequential indicator transform does. |
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Mar 31 |
revised |
better estimator of volatility for small samples added 112 characters in body |
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Mar 31 |
answered | better estimator of volatility for small samples |
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Mar 30 |
comment |
Risk neutral probability in binomial lattice option coming greater than 1…what's wrong? Here's the wikipedia article: en.wikipedia.org/wiki/Binomial_options_pricing_model |
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Mar 29 |
revised |
Few questions on Binomial-Lattice Option Valuation added matlab code of binomial lattice |
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Mar 29 |
asked | Few questions on Binomial-Lattice Option Valuation |
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Mar 29 |
comment |
Risk neutral probability in binomial lattice option coming greater than 1…what's wrong? It doesn't. Even if I make nColumn=1000 and T=20, still p=4.1291. |
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Mar 29 |
asked | Risk neutral probability in binomial lattice option coming greater than 1…what's wrong? |
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Feb 18 |
awarded | Quorum |
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Feb 8 |
comment |
Deterministic interpretation of stochastic differential equation @richardh: And moreover I never said he could solve SDE by discretizing it. I specifically gave him the link to show the final formula which is an implicit equation, and can only be solved by Finite Difference. |
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Feb 8 |
comment |
Deterministic interpretation of stochastic differential equation @richardh: I didn't presume that what he's showing is not correct. I gave my answer based on his equation. Moreover, what I said is a differential term with power 1/2 is indeed the same. That term comes from Wiener process' formula. I gave answer based on his equation. And to be fair, I doubt your answer's correctness in starting, however I don't have time to look up that and then downvote the answer with the courage of not giving reason. Once again, my answer was based on his equation and not on standard GBM equation. |
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Feb 8 |
awarded | Critic |
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Feb 8 |
awarded | Commentator |
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Feb 8 |
comment |
Deterministic interpretation of stochastic differential equation Whoever downvoted, write comment for that. |
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Feb 8 |
comment |
What's the difference between volatility and variance? I think variance is called quadratic measure, or double moment, not volatility. |
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Feb 8 |
answered | What's the difference between volatility and variance? |
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Feb 7 |
revised |
Solving Path Integral Problem in Quantitative Finance using Computer corrected grammer |
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Feb 7 |
awarded | Beta |
