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  1. wufuheng1979

    why expected value of u^2 equal to sigma^2 when forecasting future vol

    In John hull's Page 509, it is written the expected value of u^2 is sigma^2 at the end of n+t-1 day. Does it mean, at some day in the future, the vol of of return equals to return itself. This sounds strange and incorrect. How can we get this conclusion? Thanks.
  2. wufuheng1979

    Which Delta is correct?

    In John hull's book, Delta is simply equal to N(d1). But in Handbook it is exp(-rt)*N(d1). Which one should I follow? What is the industry standard for calculating this value? Like which formula Bloomberg uses to calculate Delta? Thanks!
  3. wufuheng1979

    sitcky strike rule

    In handbook P409, it says sticky strike is "the curve does not change", but why "the ISD drops from 18 to 17.5" as the strike is still 100???
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