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April 8th, 2007, 7:46 pm
Forum: Numerical Methods Forum
Topic: Creating matrices of random numbers without their 'sticking'
Replies: 71
Views: 82486

### Creating matrices of random numbers without their 'sticking'

<r>Ok, I found my old link to a Java client for random.org service, it's at <URL url="http://www.cs.duke.edu/csed/talks/stonehill/2004/code/RandomOrg.javaIt"><LINK_TEXT text="http://www.cs.duke.edu/csed/talks/stone ... Org.javaIt">http://www.cs.duke.edu/csed/talks/stonehill/2004/code/RandomOrg.javaI...
April 8th, 2007, 6:26 pm
Forum: Student Forum
Topic: probability of stock going up or down
Replies: 4
Views: 74572

### probability of stock going up or down

looks like it's John.risk-neutral p is (1.1-0.9)/(1.2-0.9) = 2/3, so his agreement with Jerry is worth {100(2/3)-100(1/3)}/1.1=100/3.3 ~ 30, while he entered into it paying nothing.
April 8th, 2007, 5:26 pm
Forum: Numerical Methods Forum
Topic: Creating matrices of random numbers without their 'sticking'
Replies: 71
Views: 82486

### Creating matrices of random numbers without their 'sticking'

<r>QuoteOriginally posted by: CuchulainnThis method is well-known and documented in the finance literature and it is mentioned in Hammersley and Handscomb 1964. It is based on the Central Limit Theorem which is reassuring. I didnt use it, 'cause it seemed to have to be slow. I would think that CLT w...
April 8th, 2007, 3:42 pm
Forum: Numerical Methods Forum
Topic: Creating matrices of random numbers without their 'sticking'
Replies: 71
Views: 82486

### Creating matrices of random numbers without their 'sticking'

<t>QuoteOriginally posted by: CuchulainnWhat is wrong with this if I don't case about 1) tails 2) possible performance degradationone thing to consider is: how well was this studied? i havent used this method myself.you may not like linear congruental methods, but they were studied extensively. ther...
April 8th, 2007, 3:29 pm
Forum: Student Forum
Topic: Brownian Motion
Replies: 6
Views: 74688

### Brownian Motion

<t>QuoteOriginally posted by: Zedr0nindependent increments are a big plusone such advantage is that you don't have to know the history from the beginning of times. in brownian motion processes, all you you need to know is where is it now in order to get an idea of what's going to happen in future. i...
April 8th, 2007, 1:51 am
Forum: Student Forum
Topic: Comparison between Black's approximation and Binomial Model
Replies: 1
Views: 75303

### Comparison between Black's approximation and Binomial Model

QuoteOriginally posted by: cerberusAny response would be appreciated.i'd suggest you to write the three-period tree with dividend payment right after period two by hand on paper, you'll see the difference immediately. don't forget to adjust the risk-neutral probabilities in period two.
April 8th, 2007, 1:45 am
Forum: Student Forum
Topic: delta from bs equation
Replies: 6
Views: 74953

### delta from bs equation

<t>QuoteOriginally posted by: AaronAlso, you have used 0.05 for the interest rate in the formula, but run the simulation at 0.1, 0.11 and 0.12.i think that he's trying to simulate asset returns, not the risk-free rate. so, that part is Ok (though using sum of 12 Rnds to model Gaussian is not very ni...
April 6th, 2007, 9:15 pm
Forum: Student Forum
Topic: Monte Carlo Simulation
Replies: 5
Views: 75392

### Monte Carlo Simulation

<t>QuoteCould some one please tell nearly how much time will it take to learn MATLAB for a person new to finance (like me) ?it takes 15 minutes to start using it, imho. i think that there's a tutorial which comes with it, that has to walk you through the features. i started using matlab in february,...
April 6th, 2007, 9:08 pm
Forum: Student Forum
Topic: delta from bs equation
Replies: 6
Views: 74953

### delta from bs equation

<t>the way you setup your simulation is not measuring delta. delta is a change in option price per 1\$ change in underlying asset. in your simulation case you look at the option price after one period, at the end of which the underlying price has changed approximately by return*S0. therefore, for dif...

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