<t>Hello everyone!This might be a silly question, but it is a little confusing to me.When one is evaluating the implied vol of an option expiring in one year, he (usually) use the 1-year Libor risk freerate, right? And what do you use when evaluating the implied vol of an option expiring in 6 month?...

<t>Hello everyone!I´m trying to conduct a cointegration analysis (Engle-Granger two step method) on some pair of stocks. If possible, I would like to knowyou do you guys cope with these issues:1) When I run the regression on the two price series, how can I decide if I need to consider a constant or ...

<t>yes. sorry. I meant the left hand side. I was thinking about the following counter-example:Take some omega such that U_i <= 0.5 if i \in V, and U_i > 0.5 if i \nin V, where V is the Vitali set. Also, fix f(x) = 0, if x <= 0.5 and f(x) = 1, if x > 0.5then, clearly f(U_i(w)) is not Lebesgue measura...

Tom. What is the formal definition of the integral on the right hand side? Where did you saw that object?

Hello Tom. I think that this equality can't hold in the general case.Notice that the integral in the lhs on your very last message it's a random variable and the integral on rhs is a number.Hope that help...

Dear ahw101. There is no general recipe. Is like trying to evaluate an integral. It is kind of an art rather than anything else.

<t>Hello. Thanks for your reply. I think you did not get the point.First, note that is NOT A DIFFERENCE. Delta is the quantityof assets that I have and S is its current price.I'm not confused if VaR is positive or negative. Please compare the first formula for VaR in my first message (that formula i...

<t>Hello Everyone!Using Wilmott's notation (Wilmott introduces quantitiative finance, page 357)let be the quantity of stock with price S and volatility . If the time horizon is and the degree of confidence is c, then the value a t risk is given by, where alpha is the inverse cumulative distribuition...

<t>Hello everyone. I'm studying (in a discrete, binomial model setting) about American options which it's owner must exercise it before expiration. 1 - Does this kind of options have some specific name?2 - Consider a 'put' on this setting i.e a derivative security that permits its owner to sell one ...

that's right. So do you agree that there is a typo on shreve's book?

Thanks Dave. I realized that all the mess was mainly due rounding the numbers correctly.

<t>I think I understood your point about the difference between an american and an european straddle. But insisting on the numerical example that I showed you, what you're saying implies that I miscalculated the price of the straddle in such a way that it should be lower than $3.120? I just can't fi...

<t>No, you're not being rude at all. I just apologize since I'm studying all this by my own and I might have some wrong ideas in my mind.When I wrote that "I can't hedge", I meant "I could not finish the hedging procedure" meaning that I could not figure it out what actions I could do in the stock a...

<t>Quoteafter 1 time step the interest on the borrowing is 0.25*3.08 but now the stock is either at 8 or 2. if the stock is @ 8 your portfolio is worth 0.4 + 0.43*8 = 3.84 so u make 0.76 but you have paid interest of 0.76if the stock is @ 2 your portfolio is worth 3 + 0.43*2 = 3.86 so again 0.78 but...

I saw it. I don't know exactly what you mean by a straddle being a single contract or not (sorry, I'm still too academic). I thought that my last message was a counter example to your message. Why it is not a counter example then?