delta depreciation

[MasterAtWork]

tradingjournals,

Martinghoul will show you how binomial model works.

I played the game, show you how useless a simple value can be (BTW, how would you get the maturity ? Don't tell us you'd need a model ! )
I 'm sure that you got something more interesting to show now. So you can price an option without a model ? Let's see that.

 

[tradingjournals]

Quote from MasterAtWork:

S*2*(delta-0.5)

?

If you make the derivative with respect to stock price, does anything come up?

 

[MasterAtWork]

Please, show us. I won't do the stuff you claimed was yours

 

[traderlux]

....talk about thread hi-jack, tradingurnals gets the award.... ...too bad sam.....

 

[spindr0]

Quote from traderlux:

....talk about thread hi-jack, tradingurnals gets the award.... ...too bad sam.....

And to add insult to injury, sme people just love being run in circles

 

[traderlux]

Quote from spindr0:

And to add insult to injury, sme people just love being run in circles

...amen.... ....

 

[tradingjournals]

Quote from MasterAtWork:

Please, show us. I won't do the stuff you claimed was yours

Please feel free to post your derivations. I think you will get credit for the derivations. The question was:

"If you make the derivative with respect to stock price, does anything come up?"

 

[Martinghoul]

Quote from MasterAtWork:
tradingjournals,
Martinghoul will show you how binomial model works.

To be honest, I am not sure I want to participate in this strange endeavor, MaW. I am really confused about the exact purpose of the discussion. As far as I can see, tj is, basically, demonstrating to us the marvelous power and self-consistency of BSM. Or should I say the power of Louis Bachelier?

Quote from tradingjournals:
Glad to read that . Could you share the details?

I should think that pricing options in the hypothetical "0-42" mkt is not too challenging, once you make an assumption about the process.

 

[MasterAtWork]

Quote from Martinghoul:

To be honest, I am not sure I want to participate in this strange endeavor, MaW. I am really confused about the exact purpose of the discussion. As far as I can see, tj is, basically, demonstrating to us the marvelous power and self-consistency of BSM. Or should I say the power of Louis Bachelier?

I can't agree more
I just wonder how he would include demand and supply in his pricing scheme to match market prices.

 

[MasterAtWork]

The only thing that may be worthwhile until now using TJ's trick, is to show how ATMF call delta is up to 0.5 (ATMF call delta=0.5+0.5C/S, and as far as C>0 and S>0, ATMF call delta>0.5 ). But it's not new (See Derman ).