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May 23rd, 2023, 10:59 pm
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 72
Views: 6227

### Re: My Dinner with ChatGPT

Me Do you know the world's shortest joke? ChatGPT Yes, I'm familiar with the concept of short jokes. However, humor is subjective, and what one person finds funny, another may not. That being said, one popular contender for the world's shortest joke is: "Time flies like an arrow; fruit flies li...
May 15th, 2023, 2:08 pm
Forum: Technical Forum
Topic: Correlation Estimation for pricing of Worst-of options
Replies: 5
Views: 342

### Re: Correlation Estimation for pricing of Worst-of options

You're welcome. T is just your option maturity -- 3 months in your example. But you could fit (*) for T - t = 1 day, 2 day, ..., 90 day, ... 365, say --  say, adding dummy variables for earnings release days. So if T - t = n days, the left-hand-side of the regression for (*) would be the historical ...
May 10th, 2023, 3:09 am
Forum: Off Topic
Topic: Random Video's
Replies: 489
Views: 57128

### Re: Random Video's

Two versions of an addictive theme (Cristobal Tapia De Veer):
The version I saw most recently:
May 8th, 2023, 12:21 am
Forum: Technical Forum
Topic: Correlation Estimation for pricing of Worst-of options
Replies: 5
Views: 342

### Re: Correlation Estimation for pricing of Worst-of options

Also (*) might need some constraints or logs or something to keep it legal.
May 8th, 2023, 12:04 am
Forum: Technical Forum
Topic: Correlation Estimation for pricing of Worst-of options
Replies: 5
Views: 342

### Re: Correlation Estimation for pricing of Worst-of options

Both options are backward-looking and contain zero information about current market conditions. Given that there are readily available broad-market level implied correlation measures (such as those calculated by CBOE), is there a sound way to blend the forward-looking measures into the historical m...
April 26th, 2023, 3:08 pm
Forum: Economics Forum
Topic: Another 50th anniversary
Replies: 0
Views: 272

### Another 50th anniversary

As most forum members probably know,
Wilmott magazine is doing a special issue marking the 50th anniversary of the Black and Scholes article

Not unrelated, today is the 50th anniversary of the CBOE
April 25th, 2023, 8:33 pm
Forum: Numerical Methods Forum
Topic: Fugit, and estimating expected lifetime in a binomial model
Replies: 6
Views: 945

### Re: Fugit, and estimating expected lifetime in a binomial model

One final thing.

I shouldn't have called E[T*] an "expected exercise time". As in the thread title, "expected lifetime" makes more sense.
April 25th, 2023, 6:24 pm
Forum: Numerical Methods Forum
Topic: Fugit, and estimating expected lifetime in a binomial model
Replies: 6
Views: 945

### Re: Fugit, and estimating expected lifetime in a binomial model

Sorry; it doesn't change the numbers I quoted, but the 3 for-loops below printf("initiating..\n") should each start at i=0
April 25th, 2023, 4:42 pm
Forum: Numerical Methods Forum
Topic: Fugit, and estimating expected lifetime in a binomial model
Replies: 6
Views: 945

### Re: Fugit, and estimating expected lifetime in a binomial model

I took my own advice and modified some old amer-style call option code to include fugit.  The essence of it is: // Rubinstein 1994 fugit example parms from "On the Accounting Valuation of Employee Stock Options" double S0 = 100.0; double K = 100.0; double T; double r = 0.08; double q = 0.0...
April 13th, 2023, 7:10 pm
Forum: Numerical Methods Forum
Topic: Fugit, and estimating expected lifetime in a binomial model
Replies: 6
Views: 945

### Re: Fugit, and estimating expected lifetime in a binomial model

Looking at that old thread, it cited  this , which I thought was clear. Looking at your code, it seems to me  expected_term[i][j] = 0.0    should instead read something like:  expected_term[i][j] = (i+1)*dt   and   expected_term[i][j]  = (p * expected_term[i + 1][j + 1] + (1 - p) * expected_term[i +...
April 5th, 2023, 9:27 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4558
Views: 406387

### Re: Trump -- the last 100 days

I could be wrong on this, but it is my understanding that the current indictment is for crimes committed under NY state law. A resulting conviction would not be subject to presidential pardon - that only applies to federal convictions. And the NY governor may or may not be inclined toward offering ...
March 31st, 2023, 8:03 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4558
Views: 406387

### Re: Trump -- the last 100 days

I could be wrong on this, but it is my understanding that the current indictment is for crimes committed under NY state law. A resulting conviction would not be subject to presidential pardon - that only applies to federal convictions. And the NY governor may or may not be inclined toward offering ...
March 31st, 2023, 12:16 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4558
Views: 406387

### Re: Trump -- the last 100 days

My theory on how this all plays out. Trump is indicted two or three times and goes to his first trial no earlier than late 2024, after the election. In the meantime, Ron DeSantis becomes the Republican nominee and wins the presidency against Biden. If Trump wins all his court cases -- end of story. ...
March 31st, 2023, 3:27 am
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 2635

### Re: Basic fixed income question: the meaning of "one month ahead"

Thanks for your research. So, given the above, my current best guess about the meaning of "one month ahead" for the US Treasury Par Yield curve is: One month ahead from YYYY-MM-DD means: - First, see if DD exists in the next month. If it does and is a Good Business Day take that as maturit...
March 30th, 2023, 1:26 am
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 2635

### Re: Basic fixed income question: the meaning of "one month ahead"

I have a put call in to friendly people at the Bank of Canada...
That's very helpful -- thank you!