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by bearish
August 8th, 2022, 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: 71
Views: 8113

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
August 8th, 2022, 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: 71
Views: 8113

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
August 8th, 2022, 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: 71
Views: 8113

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
August 8th, 2022, 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: 71
Views: 8113

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
August 8th, 2022, 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: 71
Views: 8113

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: 435

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: 108062

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: 16543

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: 435

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: 71
Views: 8113

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: 21
Views: 960

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...
by bearish
August 5th, 2022, 1:01 pm
Forum: Politics Forum
Topic: Who should I vote for?
Replies: 21
Views: 960

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.
by bearish
August 5th, 2022, 12:04 pm
Forum: Politics Forum
Topic: Who should I vote for?
Replies: 21
Views: 960

Re: Who should I vote for?

Truss does seem more of a Thatcher wannabe than Sunak. Given that you’re reliving the 70’s with double digit inflation and a major recession coming up, that probably fits the theme. Just add some flared trousers and excess hair and call it a day!
by bearish
August 2nd, 2022, 1:38 am
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2811
Views: 255613

Re: Stupid question of the day

Are all (mostly left-leaning) supporters of Putin Special Ops closet Trotskyites? ? Maybe it's different in Europe, but in America the only people who support Putin, from all I have seen, are Trumpists. I don't know if there's anything more to it than that their Dear Leader got along with him, and ...
by bearish
July 31st, 2022, 12:02 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4528
Views: 354650

Re: Trump -- the last 100 days

With the evidence piled up during the Jan 6 hearings, if our Attorney General has just as much as a hint of a spine, he will prosecute Trump for sedition. That is a capital offense. In this case it was also a Capitol offense, but that’s a bit of a coincidence.