<t>QuoteOriginally posted by: AaronAre you trying to fit a quantile regression or interpret one?Fitting is entirely different from OLS. You need a linear programming algorithm. It's not hard to program simple examples, but for real data you should get some specialized code (unless you enjoy that sor...

<t>Hi ,I am looking at quantile regression. I find it a little confusing, because, I have not been able to find a practicle example that I can study.My problem is that if we are to work out the regression equation for Quantile t = 0.05 (95%) . Do we have to do the following?Sort the data based on th...

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<t>Hi,This is a basis question, but I guess I have to start somewhere I have seen many examples for delta hedging such as the following:at t =0 , write a call C, the buy a Delta * Stock ( S ) , then we need to borrow V, V_0 = DELTA_0 * S_0 - C_0Therefore, Portfolio Value is , P = Delta_0 *S_0 - C_0 ...

Thank you for your reply,,I will give that a try... definitely,, That was the payoff at expiry !!! ( was a careless mistake !!!!)Thanks again

<t>Hi,This might be a bit basic,, But your feedback would be helpful !!I am trying to understand delta hedging,, Most of the papers , books that I have see so far , follow require the following calculation,Vt = (+/-) Vc_t + Vb_t + Vs_twhere Vt is the portfolio value ate time t, Vb is the amount in B...

Thank you for your help,,I download some VB code, which seem to work. I think it might be a bug with the Matlab code

<t>Hi,I am the following FTSE CALLsStrike Call Price Time to expiry Index risk free rate 7525.00 132.00 164 6666.10 0.0622 7325.00 190.00 164 6666.10 0.0622 I am calculate the implied volatility using blsimpv in matlab but I get the following error :Volatility = blsimpv(666.1, 7525, 0.0622, 164/365,...

Does this hold for every put and call with same strike and maturity? if so what could be going wrong ?could I use the GB libor then imply the dividend from the above equation?

Sorry the exuation should be ,C- P = (S0 - D) -Xexp(-tr)

Sorry the exuation should be ,C- P = (S0 - D) -Xexp(-tr)

<t>HI,I have been stuck on this problem for some time,,I have a data base of ftse 100 options historical data. I would like extract the implied index and risk free rate for the data using put-call parity by running a regression on the put call parity for each day and maturity,, for each day I match ...

<t>HI,I have been stuck on this problem for some time,,I have a data base of ftse 100 options historical data. I would like extract the implied index and risk free rate for the data using put-call parity by running a regression on the put call parity for each day and maturity,, for each day I match ...

<t>HI,I have been stuck on this problem for some time,,I have a data base of ftse 100 options historical data. I would like extract the implied index and risk free rate for the data using put-call parity by running a regression on the put call parity for each day and maturity,, for each day I match ...