<t>I am not able to comprehend the source of profit in barrier option trading like selling a barrier structure and hedging it by some portfolio replication strategy like risk reversal.In plainvanilla selling theta and vega are main source of profit and in between we try to manage gamma or vega risk ...

<t>I am running a option writing book.What kind of software is generally used to track an option book position? currently I am using a softwarewhich doesnt take real time data.I load the trade positions from trade file.Then freeze the realized volatility.( e.g- suppose I load the data from trade fil...

<t>Just curious whether it is possible to set up a casino sort of unbeatable strategy( or something close to it)with option writing.In typical Russian roullette the odds in favior of a player is 1/38 with a payoff of 35 times if one wins. So this is an easy money strategy for casino owner.is it poss...

<t>Can the problem be addressed in this way :1 . If implied volatility is higher than the historical volatility teh there is no problem.2. If implied is less than the historical then can we use shorter time volatility rather than annualized one ? if my trades continue till say max 20 days then why s...

<t>I have another question in this regard :basically u are calculating the fair value of option by using standard deviation of stock price and adding some extra premium depending upon k and moneyness.But what happens if the impiled volatility prevailing in the market is lower than the standard devia...

Can u plis elaborate the differentiation wrt k..not clear how u got the result dv/dk = D/ (dU/dv - dD/dv)Thanks,Wasp

<t>Is there any mathematical literature which highlights whether option writing is a profitable strategy or not in the long run.Typically a large % of option in a particular underlying expires worthless unless there is a very strong movement in the underlying price. I just want to know how the strat...

<t>I was trying to find out the probability of stock price reaching a certain level using monte carlo simulation.Basically i was finding out the value of N(d2) of black scholes equation using monte carlo simulation.But I have few doubts :1. Black Schole's world is risk neutral. but while calculating...

<r>I was reading the book fooled by randomness by taleb.In his website he has shown the mathematical proofs for the example he has given the book.1.There i come across with the term emometer.. Can someone explain me waht is meant by emometer ??2.In the same problem he has defined a distribution of w...

ooops that was a typo..it is stochastic calculus in finance.cheers.

someone please suggest a book on application of .Textstochastic calculus in finance.While suggesting any name please keep in mind that the book should help me in developing the basic concepts of stochastic calculus and its relevance in finance.Thanks in advance.wasp

Someone please help me regarding where I can download past 3 years Gold and Silver price data ( of any commodity exchange like NYMEX or CBOT)Thanx in advance. ~wasp

<t>someone please throw some light reagrding how to generate a portfolio with negetive alpha !!!! I am trying to generate the protfolio 15-20 stocks. But all the time the generated alphas are positive. Is there any definite way of doing that ? Actually I am thinking of generating two portfolios. One...

<t>Someone please suggest me some material which will help me in interpreting the results of Johansen's Cointegration tests ..and other tests regarding cointegration and cointegration regression analysis. I am using the software EasyReg for the above purpose. Also someone please highlight the differ...

fdax's assumption is also consistant with going concern concept of accounting.Cheers.