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by bearish
Today, 12:08 am
Forum: Off Topic
Topic: Russia земля борца самбо
Replies: 405
Views: 31543

Re: Russia земля борца самбо

Maybe we should focus less on him and more on the ordinary Russians who are committing war crimes and other atrocities by the tens of thousands.
by bearish
Today, 12:03 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4518
Views: 347363

Re: Trump -- the last 100 days

Yes, but, as far as we can tell, not specificly motivated by the Jan 6 sedition case. That being said, evidence found under a lawful warrant motivated by an investigation into crime A can happily be used in the prosecution of case B, C, D, etc. So this could still lead to his hanging. Wishful thinki...
by bearish
Yesterday, 7:49 pm
Forum: Politics Forum
Topic: Who should I vote for?
Replies: 20
Views: 447

Re: Who should I vote for?

8 turns out to be the magic “number” to determine the possible “shapes”.
by bearish
Yesterday, 6:50 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2760
Views: 247578

Re: Stupid question of the day

No. Why would you even ask that? Surely there must be other stupid questions to be asked today!
by bearish
Yesterday, 6:48 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 62
Views: 5712

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

I’d like to blame Marsden for his unconventional use of [$] \mu [$], but that’s probably not fair. With a negative drift, my first property will not hold, though, since then the process will tend to go zero in all relevant senses.
by bearish
Yesterday, 2:37 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 62
Views: 5712

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

I should have written If  0.5σ 2  > r - μ > 0  then  S t  = e μt + σW(t)   has the property that  lim t→∞ E [ S t  - e rt ]  = ∞  but  lim t→∞ ( S t  - e rt )  < 0  almost surely. Bearish, your " lim t→∞ S t   = 0 " is wrong, which is probably what is causing the confusion. I don't know i...
by bearish
Yesterday, 1:28 am
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 62
Views: 5712

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

I’m pretty sure I wrote what I meant to write. Your statements are true, too, but I saw no particular reason to bring the money market account into play. We can set [$] r = 0 [$] and we’ll all be happy.
by bearish
Yesterday, 12:19 am
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 62
Views: 5712

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

I mean, you could do that, and the result would be very different. Or you could raise the whole thing to the power of 17, and it would also be different. And, likewise, probably not in an interesting way.
by bearish
Yesterday, 12:16 am
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 62
Views: 5712

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

The standard martingale theory approach to model replication, pricing, etc. always comes with a bounded time horizon, to avoid problems of this sort. The law of large numbers prevents non-trivially different measures from being equivalent in the limit as time goes to infinity. Another version of yo...
by bearish
August 7th, 2022, 8:57 pm
Forum: General Forum
Topic: Dual hybrid option
Replies: 3
Views: 123

Re: Dual hybrid option

To be honest, I just eyeballed the implied vol at that strike in the low 20’s and figured the skew was going to work against you. I did not actually do the real calculation, although I don’t think that should be too hard. And then, yes, I think it is appropriate to apply a haircut of sorts to accoun...
by bearish
August 7th, 2022, 7:31 pm
Forum: Off Topic
Topic: Italy, land of trash.
Replies: 574
Views: 107382

Re: Italy, land of trash.

Aww - it couldn’t have happened to nicer people! Unlike Italy, the people behind Dominos are indeed trash.
by bearish
August 7th, 2022, 5:11 pm
Forum: Programming and Software Forum
Topic: Bloomberg Api's basic problem
Replies: 9
Views: 16138

Re: Bloomberg Api's basic problem

By chance friends do you know how to get "commodity curves" via the BBG API. E.g. to get the futures curves of Brent I would hit <COA Comdty><CCRV><ENTER> in the Terminal and then I can pick up date(s) for which I want that curve. I want to get that curve programmtically either python or ...
by bearish
August 7th, 2022, 3:20 pm
Forum: General Forum
Topic: Dual hybrid option
Replies: 3
Views: 123

Re: Dual hybrid option

The starting point is that this is a lottery ticket, and “pricing” it is beyond tricky. The good news is that we can pretty much ignore complications having to do with drift and discounting on account of the short time horizon. The option will clearly be worth less than the lower of the two one-dime...
by bearish
August 7th, 2022, 2:39 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 62
Views: 5712

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

The standard martingale theory approach to model replication, pricing, etc. always comes with a bounded time horizon, to avoid problems of this sort. The law of large numbers prevents non-trivially different measures from being equivalent in the limit as time goes to infinity. Another version of you...
by bearish
August 5th, 2022, 4:09 pm
Forum: Politics Forum
Topic: Who should I vote for?
Replies: 20
Views: 447

Re: Who should I vote for?

I enjoyed the 80’s. Of course, I basically spent that entire decade as a student, and I liked being a student. No postdocs? It's even better. That wasn’t a thing in finance at the time. If memory serves me right, the ratio of open assistant professor positions to graduating PhDs in the US was rough...