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March 20th, 2017, 1:02 pm
Forum: Student Forum
Topic: soft American options
Replies: 0
Views: 398

### soft American options

On Page 24-25 of N. Taleb's "Dynamic Hedging" the author talks about "Soft American Options" > A soft American option (also called a pseudo-European option) is only > subjected to early exercise from the standpoint of the financing of > the intrinsic value. >  > An extension of this definition is th...
March 16th, 2017, 3:12 pm
Forum: Student Forum
Topic: “a straddle will be equal to two calls delta neutral or two puts delta neutral”?
Replies: 0
Views: 487

### “a straddle will be equal to two calls delta neutral or two puts delta neutral”?

I'm reading Nassim Taleb's book "Dynamic Hedging", on page 22 he says: Consequently, a straddle will be qual to two calls delta neutral or two puts delta neutral (of the same strike). Assume that the forward delta of a put is 30%,  $$Straddle = 2P + .6F = 2(C-F) + .6F = 2C - 2F + .6F = 2C - 1.4F$$ I...
September 25th, 2013, 11:47 pm
Forum: Student Forum
Topic: How to prove Brownian motion is Gaussian Process?
Replies: 1
Views: 6139

### How to prove Brownian motion is Gaussian Process?

<t>I'm reading Bernt Oksendal's "Stochastic Differential Equations" and this is one of the proof that I'm totally lost.This is from Ch2.2, page 12-13 (sixth edition).First, Brownian motion is defined asP^x(B_{t_1}\in F_1, \cdots, B_{t_k}\in F_k) = \\ \int\limits_{F_1 \times \cdots \times F_k}p(t_1...

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