thanks

Btw gaus is just a vector that holds my time series so i corresponds to t

<t>If i want to generate n correlated randon walks when I know the correlation matrix Cij. How do I ensure that each random walk is consistent with each other?for instance if we have 2 stocks, the proceedure I use is to generate 2 normal walks gaus1 and gaus2Then correlated random walk gaus3 is give...

<t>lets imagine we have a european call option whose claim is a (linear) function of by how much one equity index outperforms another. For instance say we buy a call on the eurostoxx -- dax spread (esx-dax) at strike 0%, maturity T. If we assume a 'no smile' world to price this option would not be t...

<t>The eqtn q =(s *exp(rdt)- sdown)/(sup-sdown)am i missing something obvious but I cant derive the result stated belowq = 1/2( 1-sqrt(dt)*((mu +1/2sig^2 -r)/sig) )where sup = s exp(mu *dt +sig*sqrt(dt) ) sdown = " - "I have Taylor expanded the fraction but this does not appeasr to workthankstom </t>