Sorry, TheBridge, I was rebounding on Alan's comment.

<t>Well, intuitively, I would say that, if the 'shifted price process', namely (S(t)+c) (with c the deterministic shift), is lognormal with a lognormal stochastic volatility and, if the correlation is positive, then the 'shifted price process' (S(t)+c) is a supermartingale, i.e. E[S(t)+c|Filtration(...

<t>Thanks. Interesting discussion indeed. I presume that if I approximate the CEV price process by a shifted lognormal price process (using Marris 1999), then I am back to case ii) (regardless of the value for beta, that becomes embedded in the shift) and I need to keep rho < 0 to avoid the supermar...

<t>Hello,I read somewhere that a a lognormal vol model combined with a lognormal price model with positive correlation loses its martingale property. Is there such a result for a SABR model, i.e. a lognormal vol combined with a CEV price or, alternatively, a lognormal vol combined with a shifted log...

Thank you all for your kind suggestions.

Has anybody any experience about building add-ins for Excel under Mac OS-X using for example Xcode IDE? What's the quickest/most efficient way?

SummitKondor+Calypso

I am using Xcode IDE uner OS-X. Is there anybody who knows how to use it or set it up in order to generate or create ATL equivalent projects with the ultimate goal of linking my C++ libraries to Excel in Mac.