From theory to practice - page 681
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We are talking about modelling call and put option prices http://elib.bsu.by/handle/123456789/9487, both of which change over time https://cfocafe.co/options-greki/.
It's understandable, it's interesting -- I agree. But I'm not talking about the call and put, I'm talking about the formula.
First you remember the definition of the mathematical expectation.
And then figure out what the limit of a linear function is.
Bottom line: it's either an error, or it's not the mathematical expectation in its classical definition, but something else.
for a better understanding :
.
It's understandable, it's interesting -- I agree. But I'm not talking about the call and put, I'm talking about the formula.
First you remember the definition of the mathematical expectation.
And then figure out what the limit of a linear function is.
The bottom line: it is either an error or it is not the mathematical expectation in its classical definition, but something else.
In the framework of the model, the price expectation MO is linearly related to the time T: MO = a + b*T for all T points of the set that satisfy the condition 0 <= T < Tend, Tend is the expiration date. The point Tend is a limit point of the set, the function MO(T) is defined for all its points and the MO(T) limit when T tending to Tend exists and equals a + b*Tend.
What is the problem?
In probability theory another limit is taken when calculating expectation, by the number of trials (realisations). By the way, Alexander, this is a deterministic additive (I would say linear trend) and the values of statistical characteristics, including nonparametric ones, are related to the position of T relative to Tend - the desired bifurcation point or trend reversal.
MO is linearly related to the time T : MO = a + b*T for all T points of the set that satisfy the condition 0 <= T < Tend, Tend is the expiry term of the option. The point Tend is a limit point of this set, the function MO(T) is defined for all its points and the limit MO(T) when T tends to Tend from the left exists and equals a + b*Tend.
What's the problem?
In probability theory another limit is taken when calculating the expectation, by the number of trials (realizations).
There is no problem ;)
But for Forex it is not applicable, at least because of the absence of Tend.
Well, play with this distribution for another year... The main thing is that it would be fun ;)))
There is no trouble ;)
What makes you think it's an error https://www.mql5.com/ru/forum/221552/page681#comment_9100392, https://www.mql5.com/ru/forum/221552/page681#comment_9100499?
For what purpose did you ask me to "And then figure out what the limit of a linear function is"?
What makes you think it's a mistake https://www.mql5.com/ru/forum/221552/page681#comment_9100392, https://www.mql5.com/ru/forum/221552/page681#comment_9100499?
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From theory to practice
Oleg avtomat, 2018.10.22 23:27
This is understandable, interesting -- I agree. But I'm not talking about call and put, I'm talking about the formula.
First you remember the definition of mathematical expectation.
And then figure out what the limit of a linear function is.
Bottom line: it is either an error or it is not the mathematical expectation in its classical definition, but something else.
Do you really have to spell it out like that...
and somehow you only see half of the conclusion... there's another half.
With the T parameter limit, I've explained it pretty well. Where is the mistake?
I seem to have explained it very well with the limit on the parameter T. Where is the error?
Where is the proverbial T parameter here ?
Forum on trading, automated trading systems and strategy testing
From Theory to Practice
Alexander_K, 2018.10.22 23:04
...
...
And it is possible to interpret in different ways.
You can introduce limits not only on T, but also on the rest of the parameters. Do you understand that this changes the situation drastically? The function immediately transforms from a linear to a non-linear one. Consequently, its behaviour, analysis and synthesis change radically. Don't you understand it?
Oleg, let's go to bed, it's late))
Tell me what the limit of a linear function is. Then you can rest in peace ;))
Vladimir:
For what purpose did you ask me "And then figure out what the limit of a linear function is equal to"?