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by Collector
March 28th, 2003, 3:19 pm
Forum: General Forum
Topic: Frozen Time Arbitrage
Replies: 21
Views: 191289

Frozen Time Arbitrage

I am happy to see there is one person that took my strategy seriously:Time Travler Busted For Insider TradingHow can they put him in prision? is there any rules against time-travel arbitrage ? Turning $800 into $350 mill is pretty good, he owns me a cut.
by Collector
March 28th, 2003, 12:30 am
Forum: Off Topic
Topic: Nassim Taleb
Replies: 86
Views: 197301

Nassim Taleb

<r>Nassim is also a very good skier, he is one of the few people I have met in this area that can follow me down triple black diamonds (well I had to wait for him a few times <E>;-)</E>. Down the slopes we used to discuss shadow gamma, and delta bleed....and he love mogul skiing, well what else woul...
by Collector
March 18th, 2003, 8:40 pm
Forum: Student Forum
Topic: Barrier option: Positioning nodes on the barriers
Replies: 3
Views: 190118

Barrier option: Positioning nodes on the barriers

<t>I used the method described in hull's book long time ago, and remember I got values very close to analytic values. i used trinomial. However if I remember right all the tricks was not described in the book (?) , but this is some years ago now so I can't remember the details. There are infinite di...
by Collector
March 18th, 2003, 2:34 pm
Forum: Student Forum
Topic: whale option
Replies: 6
Views: 190839

whale option

if you need to hedge with the underlying you can actually buy whale meat in norwegian supermarkets.
by Collector
March 12th, 2003, 12:30 am
Forum: Student Forum
Topic: For Collector
Replies: 3
Views: 190000

For Collector

<t>Glad you liked my paper!>What’s not still clear to me is this: on page 41 of the paper you wrote: Brownian motion leads to the bell shaped normal distribution which is >perfectly symmetric. Thus a call equals an antimatter-call and a put equals antimatter put. Here I was simply thinking about if ...
by Collector
March 9th, 2003, 2:41 pm
Forum: General Forum
Topic: How to manage time well?
Replies: 17
Views: 191734

How to manage time well?

When you are flying always take the concord! One: this saves you travel time. Two: time itself is slowed down measurable (the Hafele and Keating experiment).
by Collector
March 9th, 2003, 2:32 pm
Forum: Student Forum
Topic: help on delta
Replies: 3
Views: 189825

help on delta

What do you mean by delta bounded by 1? The spot delta can naturally go higher than 1. Or are you limiting yourself to stock options when the interest rate is posetive, yes in that case the delta is bounded by 1.
by Collector
March 8th, 2003, 11:45 pm
Forum: General Forum
Topic: Frozen Time Arbitrage
Replies: 21
Views: 191289

Frozen Time Arbitrage

<t>I just watched a few "time-travel movies" today:"The Time Machine" the 1960 film based on the famous H.G. Wells 1895 Novel, great stuff, highly recomended"The Time Machine" 2002 version of the 1960 movie, Huh I think the original was much better."Lara Croft Tomb Rider" The story is may be not tha...
by Collector
March 8th, 2003, 10:03 pm
Forum: Student Forum
Topic: Relation between Theta and Vega
Replies: 6
Views: 190502

Relation between Theta and Vega

by Collector
March 8th, 2003, 10:02 pm
Forum: Student Forum
Topic: Relation between Theta and Vega
Replies: 6
Views: 190502

Relation between Theta and Vega

<t>brussel I think you have a small typo there (?) , Vega = dC/d(vol) = dC/(-1/(2*t)*vol*dt) =-1/(2*t)*vol*Theta, should beVega = dC/d(vol) = dC/(-1/(2*t)*vol*dt) =-Theta*2*t/volmore interesting practical relationship between vega and theta is known as offset-vol, how much the IMPLIED-vol much incre...
by Collector
March 8th, 2003, 9:07 pm
Forum: Technical Forum
Topic: Transformation of volatility into equity risk premium?
Replies: 29
Views: 195218

Transformation of volatility into equity risk premium?

<t>not a great answer to your question, but somewhat related ?If the asset follows GBM we can assume the continuous-time capital asset pricing model of Merton 1971 holds. in this case the risk premium of an option isS/c*Delta*(mu-r)where S is that asset price, c=call option value, delta = delta call...
by Collector
March 6th, 2003, 4:20 pm
Forum: Student Forum
Topic: Partial Time End Out Call Option - Help Espen!
Replies: 5
Views: 189847

Partial Time End Out Call Option - Help Espen!

sorry I don't have the formula for rebate on partial barriers....if I get time I will look through my library...
by Collector
March 6th, 2003, 2:57 pm
Forum: Student Forum
Topic: Partial Time End Out Call Option - Help Espen!
Replies: 5
Views: 189847

Partial Time End Out Call Option - Help Espen!

yes the payoff is max(S-X,0) for call, max payoff on B2 is still H-X, that is S is just below H gives max payoff. But if they get knocked out they pay off zero. You could naturally add a rebate that pays off S-X or any other amount if knocked-out.
by Collector
March 6th, 2003, 3:37 am
Forum: Student Forum
Topic: Partial Time End Out Call Option - Help Espen!
Replies: 5
Views: 189847

Partial Time End Out Call Option - Help Espen!

<t>Question 1: In my example, if the stock price on the third anniversary is $200/share, does B1 and B2 both treat the option as knocked out? Or does B2 assume you have to cross below and then above to be knocked out? Since the value of B1 is much larger than B2 (using his software), I would guess t...
by Collector
February 20th, 2003, 3:05 am
Forum: Student Forum
Topic: Option Pricing
Replies: 8
Views: 190255

Option Pricing

<t>>OTC currency options are considered at-the-money for the delta-neutral straddle. This is either slightly above or below the >forward (by approx a factor of exp(0.5*vol^2*T) depending on the premium conventions used for the particular pair. You are close! The delta neutral strike is X=S*exp((b+v^...