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...
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 [$] s=t_0 < t_1 < ... < t_m = t[$] ....
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...
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 [$] d \...
After my Heston remark on stochastic volatility https://www.slideshare.net/list2do/critical-point-on-stochastic-volatility-option-pricing-80339422 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046261 the idea to look more thoroughly the Black Scholes option derivation did lead me to a critic...
There is no direct evidence that SP killed people himself and it is not clear whether SP was killed even before shooting people began. Who installed cameras around his room in hotel and it is not clear from his biography that he has a skill to do that.
Money also have a power to resolve political problems and it might be a chance of delay or even elimination of the problem in next future. Let's take a time to observe. But who knows?
With the mass-killing info there are a number of holes. It was said that there is no evidence of the connections to islamist while his girlfriend is a filippiner. How one can bring a large number of guns to the hotel room. Whether all guns have only his prints. The Country-Festival attendees are pri...
Even before election Democrats Headquarter stated about Russian hackers break down their computers. Comey did not confirm or reject t he null hypothesis [$]H_0[$] but he stated that Russian did not change voters choice. Now people forgot about break down Democrat computers and all thoroughly search...
everything old is new again u4S_yl2uCm0 Governor Jerry Brown compares Trump supporters to ‘troglodytes’ “President Trump is the null hypothesis, which he’s proven,” Mr. Brown said, Politico reported. lol, Jerry Brown is a statistician? The null hypothesis [$]H_0[$] is a primary one that should be t...