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by list1
October 12th, 2017, 11:20 am
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

Re: to Black Scholes pricing

I do not fully grasp your argument. Where do you do the portfolio rebalancing step? At each time step t, we have a value before and after rebalancing / rehedging... I miss this step in your last post, but maybe I didn't get what you are saying :( In order to present BS price we choose arbitrary poi...
by list1
October 11th, 2017, 4:19 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

Re: to Black Scholes pricing

There is something that I could not comprehend in derivation (BSE). In one step [ t , t + dt ) everything looks quite good but this is informal style.  To be formal we should make several steps: 1) take a subinterval ( s , t ) [$]\in[$] [ 0 , T ] make a partition [$] s=t_0 < t_1 < ... < t_m = t[$] ....
by list1
October 11th, 2017, 3:21 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

Re: to Black Scholes pricing

It seems that there is an error in your mathematical argument.

The hedge portfolio is held fixed from t to t+dt, so there is no derivative of Delta with respect to S involved.
I did not take derivative of Delta. 
by list1
October 9th, 2017, 10:06 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

Re: to Black Scholes pricing

Are you considering a one time static hedge at t=0, or a continuous dynamic re-heding at all points in time in the interval [0,T] ..like B&S assume? From my point of view BS pricing states that at any point during lifetime of the option the solution of the BSE provides risk free rates of return of ...
by list1
October 9th, 2017, 8:35 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

Re: to Black Scholes pricing

It's likely I was wrong in my conclusion about BS pricing
by list1
October 8th, 2017, 10:02 pm
Forum: Off Topic
Topic: Mushrooming Microsoft
Replies: 48
Views: 3891

Re: Mushrooming Microsoft

by list1
October 8th, 2017, 1:17 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

Re: to Black Scholes pricing

Here is the essence of my comment. The  change in the value of the Black Scholes hedged portfolio at [$] t  \in [ 0 , T ) [$] [$] d \Pi ( t ) =   d C ( t , S ( t ) )  -  C ^{\prime}_S ( t , S ( t ) )  d S ( t )  [$] does not have risky term dw ( t ). This fact lead them to the statement that [$] d \...
by list1
October 8th, 2017, 9:59 am
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2640

to Black Scholes pricing

After my Heston remark on stochastic volatility  https://www.slideshare.net/list2do/critical-point-on-stochastic-volatility-option-pricing-80339422 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046261 the idea to look more thoroughly the Black Scholes option derivation did lead me to a critic...
by list1
October 6th, 2017, 4:17 pm
Forum: Off Topic
Topic: Las Vegas to close. Global warming.
Replies: 61
Views: 53956

Re: Las Vegas to close. Global warming.

There is no direct evidence that SP killed people himself and it is not clear whether SP was killed even before shooting people began. Who installed cameras around his room in hotel and it is not clear from his biography that he has a skill to do that.   
by list1
October 6th, 2017, 4:14 pm
Forum: Off Topic
Topic: Homage to Catalonia
Replies: 154
Views: 12368

Re: Homage to Catalonia

double
by list1
October 6th, 2017, 3:39 pm
Forum: Off Topic
Topic: Homage to Catalonia
Replies: 154
Views: 12368

Re: Homage to Catalonia

Money also have a power to resolve political problems and it might be a chance of delay or even elimination of the problem in next future. Let's take a time to observe. But who knows?
by list1
October 4th, 2017, 10:52 am
Forum: Off Topic
Topic: Las Vegas to close. Global warming.
Replies: 61
Views: 53956

Re: Las Vegas to close. Global warming.

With the mass-killing info there are a number of holes. It was said that there is no evidence of the connections to islamist while his girlfriend is a filippiner. How one can bring a large number of guns to the hotel room. Whether all guns have only his prints. The Country-Festival attendees are pri...
by list1
October 1st, 2017, 6:49 pm
Forum: Student Forum
Topic: about Heston93
Replies: 5
Views: 1065

Re: about Heston93

I will appreciate your critical comments on my critical thoughts about Heston 93 model at 

https://papers.ssrn.com/sol3/papers.cfm ... id=3046261
by list1
September 18th, 2017, 10:06 pm
Forum: Politics Forum
Topic: bill clinton, first husband ?
Replies: 439
Views: 107088

Re: bill clinton, first husband ?

Even before election Democrats Headquarter stated about Russian hackers break down their computers. Comey did not confirm or reject t he null hypothesis [$]H_0[$] but he stated that Russian did not change voters choice. Now people forgot about break down Democrat computers and all thoroughly  search...
by list1
September 18th, 2017, 9:20 pm
Forum: Off Topic
Topic: California: Here comes Ahnoooold!
Replies: 234
Views: 204172

Re: California: Here comes Ahnoooold!

everything old is new again u4S_yl2uCm0 Governor Jerry Brown compares Trump supporters to ‘troglodytes’ “President Trump is the null hypothesis, which he’s proven,” Mr. Brown said, Politico reported. lol, Jerry Brown is a statistician? The null hypothesis [$]H_0[$] is a primary one that should be t...
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