<t>for the birthday problem, the probability that at least 2 people out of N total share the same birthday is 1-365*364*....*(365-N+1)/365^Nwhat would be the probability that at least k people out of N total (k<N) share the same birthday (any date)?what about the probability that at least k people o...

Where can I get historical data for subprime RMBS credit spreads (going back 5-7 years if possible)? I'm talking about US RMBS

<t>Thank you, Alan - I am not familiar with Scott's model, so I will try to look up the article you mentioned.I was thinking of something very simple, let me know if you see issues with this strategy:1) log[vol(t)]=X(t)2) assume X(t) follows a mean-reversion process dX=k(a-X)+dZ3) discretize X(t)=al...

<t>1. It is a perpetual call (no maturity), so it must be American?2. I don't have a term sheet, but I tried to describe the product below - exercisable at any time, never expires, fixed predetermined strike price, the underlying is a product which tracks an index such as S&P 500 (and pays a div...

<t>What is the "best" practical way to estimate the volatility if one needs to price a perpetual call option? The call is written on an index (which can be a broad market index such as the S&P or some subsector of the S&P, say biotech companies included in the S&P 500).If the underlying ...