Oh, I'm fair...let's see, 1 tera dollar sound good? But it *has* to work for at least three years.
You'd have to hedge FX going forward, which would kill any IA? As a more general question, though, why does the underlying sometimes diverge...
Yes, and even the first moment plays a role in principal, because the risk-free rate is stochastic, too.
I was about to ask, can anyone give me leading indicator for prices? I'm willing to pay, if it works. :)
d(x + y) = dx + dy, but d(xy) = y dx + x dy, so depending on how you wish to use this number, you might not need 5 digits. [edit] BTW,...
You're right, thanks. So was I. [edit] Well, meaning Eco pokes fun at people looking for meaningless (numerical) coincidences in nature. Here,...
Eco's "Faucault's Pendulum" has a good discussion of these issues.
Agreed. Then you are contributing toward making the markets more efficient. Hypothetically, if they already are, the cost of the hedge would...
Currency risk, political risk...? You do get excess reward, in expectation, for holding any risk that others want to unload. MM and retail traders...
Well, almost right. :D
As the previous poster points out, the theory is quite simple, but the devil is in the details, especially once you put in constraints and want to...
Looks like you're setting the strike based on the volatility of the (closing) *level* of the SPX? That would explain the high probabilities you're...
Quick question: how do you set s, your strike? Did you scale the return volatility by sqrt(t)?
Separate names with a comma.