>Collector, you must have the formula for an option on a dividend-paying stock turning into an option on a non dividend paying >stock at a barrier...exellent idea, have not seen it before...let's put it together!! We should turn this thread into a dividend wilmott paper. ...???
<t>I once implemented a tree model assuming first dividend is known discrete cash dividend, often more or less is true in practice, for later dividends I assumed constant discrete dividend yield. Companies tend to cut dividend if stock price perform very bad over time..? However this is not analytic...
<t>stampeding excellent observation, you just found a "Wall Street Secret"! Here is the storyFirst of all you are perfectly right! However the problem you are mentioning has been known by a few "Wall Street Quants" and a handful option arbitrageurs for some years now. But most of them (including) me...
I am not sure, but may be fluffy barrier is the same as soft barrier options? That is a barrier option with a barrier range rather than a barrier price. Such an option gets knocked-out (in) gradually.
of course, the delta you can hedge with underlying, the gamma with other options. To get all the secrets about hedging plain vanilla options i recomend my article forthcoming in next issue of Wilmott mag (may issue
<t>SanFranCA2002>Library? Those buildings with books? I remember!!! Yes, at UCLA. Spending time to travel there instead of using a few key >strokes on my PC to look things up.>If you want to meet girls, it can be a good place. Maybe that is the purpose. I spent some time in the UCLA library a summer...
<t>and also quantitative fiancé is not physics. That is the best laboratories for testing out quantitative finance you have in practice (banks and hedge funds.....). People in the industry actually have better tools and "laboratories" to test out how their ideas work, that is in risk management as w...
<t>>I always thought that to undertake a PhD, you need to do research? and unless you have necessary tools and applications at home its quite difficult no??? or >perhaps not? yes you need tools: a computer and some software, a lot of papers and research can be downloaded from the internet (especiall...
<t>This guy Time Travler Busted For Insider Tradingcan also have been inspired by the movie TimeCop that is very similar to his storry. A guy traveling back in time (bringing newspapers from the future) using it to do time-travel insider trading. Martingale> “Something might be off topics here, ther...
even with inside information it would be hard to turn $800 into $350 000 000 in only a couple of weeksit is also strang that the SEC source admits, "No one can find any record of any Andrew Carlssin existing anywhere before December 2002."
I have skipped the second edition. That is the next edition will be published later than expected, but on the other hand it will contain much more information than expected. Year 2004?