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4 votes

Why is this inequality strict for arbitrage argument for European call?

It is because to show the existence of arbitrage, it suffices to show that there is no chance of losing money,and a positive chance of making money. Arbitrage does not imply you are certain to make ...
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0 votes

What are some interesting recent machine learning related developments in the QF domain?

Advances in Financial Machine Learning(2018) by Lopez De Prado
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4 votes

What are some interesting recent machine learning related developments in the QF domain?

Sirignano, J., & Cont, R. (2019) (High-frequency stock forecasting): The authors apply a large-scale deep learning model (recurrent neural network with Long Short-term Memory units) to high-...
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5 votes

What are some interesting recent machine learning related developments in the QF domain?

Empirical Asset Pricing via Machine Learning (2020) by Gu, Kelly and Xiu
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3 votes

What are some useful approximations to the Black-Scholes formula?

Arguably the most useful approximation to the Black-Scholes formula would be the approximation made by any universal approximator such as a neural network, granted that it is trained on data following ...
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4 votes

Pricing FX options on pegged currencies

This is a good question. Within the space of pegged currencies the modeling and valuation approach varies. I can speak from trading the gulf ccys (USDSAR and USDAED specifically). These petrodollar ...
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2 votes
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How do I extract the arbitrage?

It may be possible with a synthetic short with a long underlying stock. Buy 1 put and sell 1 call for a debit of $4 Buy 1 stock for a debit of $10 Net debit = $14 On expiry, if stock is: \$0: Call and ...
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2 votes

Pricing FX options on pegged currencies

I remember when people were trading a lot of FX options, as well as forwards on USDARS in 2001, before AR defaulted, and the currency peg broke. USDARS was pegged to 1, so there was no historical ...
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2 votes
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Difference between closed form binomial option value and monte carlo simulation

Okay i found the problem, my implementation of binomial pricing was wrong. This python implementation: ...
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4 votes
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Implied volatility of Asian options under Black76 model

This is the Turnbull-Wakeman approximation for pricing continuous arithmetic average options adjusted for the case of option on futures. Please note that this approximation has some serious ...
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1 vote

Implementing a Fast Fourier Transform for Option Pricing

I found this jupyter notebook on Github extremely helpful for applying Fourier transform methods to option pricing. Python code is all available.
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