Search type Search syntax
Tags [tag]
Exact "words here"
Author user:1234
user:me (yours)
Score score:3 (3+)
score:0 (none)
Answers answers:3 (3+)
answers:0 (none)
isaccepted:yes
hasaccepted:no
inquestion:1234
Views views:250
Sections title:apples
body:"apples oranges"
URL url:"*.example.com"
Favorites infavorites:mine
infavorites:1234
Status closed:yes
duplicate:no
migrated:no
wiki:no
Types is:question
is:answer
Exclude -[tag]
-apples
For more details on advanced search visit our help page
Results tagged with Search options answers only user 254
3
votes
As @Rustam notes, "correlation" of deterministic functions in the sense you describe is a special case of allowing $\mu$ and $\sigma$ to have a term structure of arbitrary shape. Since the latter is …
answered Aug 20 '13 by Brian B
8
votes
The main component of that option premium is (forward-looking) volatility $\sigma$. The very simplest formula you could use for ATM options is the Bachelier model \begin{equation} \text{Call}_T = \si …
answered Feb 22 '11 by Brian B
0
votes
Since currencies are explicitly part of your asset set, it does not matter in principle which choice you make (currency hedged or unhedged) for the other securities. In order for you model weights to …
answered Aug 12 '11 by Brian B
5
votes
You could read it like this: The typical change in equity value is equal to the typical change in asset value, adjusted for the probability of the assets surviving. Note that the formula is not spec …
answered Aug 14 '13 by Brian B