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I have tried stock price as control variate for my monte carlo simulation, and I am trying to reduce the variance of my estimated price for European Put option. And...
Asked on 12/31/2020 by Lin Lex
1 answerI heard that VWAP slippage (relative difference between the VWAP and the initial mid-price, $varepsilon . frac{P_{VWAP}-P_{arrival}}{P_{arrival}}$ with $varepsilon = +1 or -1 $...
Asked on 12/31/2020
1 answerJohn Cochrane states, that if the covariance between the stochastic discount factor and the payoff is zero - then risk aversion should have no impact on the pricing. I do...
Asked on 12/29/2020 by Question Anxiety
1 answerI am trying to understand how an delta neutral profile is generated. I sell a call for strike of 50$ and the delat of this call is 0.5. I buy...
Asked on 12/28/2020 by roller
1 answerI'm making an app that displays the last close price of each ticker in the ftse 100 but for the life of me I can't seem to find an API...
Asked on 12/23/2020 by TheChubbyPanda
3 answerConsider the covariance, evaluated at time $t$, between two call options written on two different but not independent underlyings $S_1$ and $S_2$ defined on the same (filtered)...
Asked on 12/15/2020 by user279687
0 answerI am a MFE student and we have project on the Markowitz portfolio optimization problem. i am wondering how much impact there will be, if I use a simpler linear...
Asked on 12/15/2020 by felix
3 answerSo how I understand it, higher asset volatility implies a higher call option price. The Merton Model holds that the value of equity is a call option. This therefore implies...
Asked on 12/14/2020 by dadude27
1 answerI'd like to convert the US Treasury Constant Maturity series (par, semi-annual coupon, Actual/365 daycount convention) into Discount Factors (for appropriate comparison for certain money-market series, calculation of forward rates,...
Asked on 12/13/2020 by MikeRand
1 answerI am wondering how to calculate option Greeks for Down-and-out barrier Call options with leverage. The option characteristics are as follows. The buyer of the option pays a fraction of...
Asked on 12/12/2020 by twhale
0 answerGet help from others!
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