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by herronli
December 16th, 2005, 5:24 pm
Forum: Student Forum
Topic: Binomial Model Implementation Challenges
Replies: 0
Views: 126286

Binomial Model Implementation Challenges

<t>For your basic CRR tree with discrete dividends, I have 2 issues:1) Number of Steps > Number of Days to expiration => StepTime = Fraction of DaysFrom my Rate Curve, what rate do I use when both sides of the step fall on the same day?2) Number of Steps < Number of Days to expiration => StepTime > ...
by herronli
March 3rd, 2005, 12:45 am
Forum: Student Forum
Topic: Deterministic Option Pricing
Replies: 1
Views: 157524

Deterministic Option Pricing

<t>Why not just start with Put-Call Parity relationship of a listed market and make sure the calls line up with the synthetic calls (ie long Stock, long Put) and then make sure your call spreads are in line with your synthethic call spreads (short put spread) and then make sure your butterflys are a...
by herronli
July 22nd, 2004, 2:27 am
Forum: Technical Forum
Topic: Implied Divs versus Implied Borrow from US Listed Equity Option Markets
Replies: 4
Views: 182667

Implied Divs versus Implied Borrow from US Listed Equity Option Markets

I apologize for the poor grammar in the last post
by herronli
July 22nd, 2004, 1:31 am
Forum: Technical Forum
Topic: Implied Divs versus Implied Borrow from US Listed Equity Option Markets
Replies: 4
Views: 182667

Implied Divs versus Implied Borrow from US Listed Equity Option Markets

<t>Nope, I was trying to discern borrow (aka implied repo rate) on individual single stock option markets.I know my own funding rate. I was wondering if anyone was about to systematically break down the "implied rate" into separate dividend versus repo forces. I would like to get a more granular han...
by herronli
July 16th, 2004, 1:27 am
Forum: Technical Forum
Topic: Implied Divs versus Implied Borrow from US Listed Equity Option Markets
Replies: 4
Views: 182667

Implied Divs versus Implied Borrow from US Listed Equity Option Markets

Is there standard process to extract a market "implied div yield" separate and distinct from the market "implied borrow" of ther various terms and strikes of a given underlyingstock?
by herronli
February 26th, 2003, 2:13 am
Forum: General Forum
Topic: Hedge Fund/Investment Partnership
Replies: 21
Views: 193768

Hedge Fund/Investment Partnership

<r>I'm not sure if you are aware, but there is a new trend in the last year or so called Hedge Fund Services that are popping up at all the big banks. They will write your business plan, find investors and setup your entiretrading operation. Your job, be smart, make money!As I am partial to my own p...