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  1. Realized Volatility Calculation

    Hi, I am confused about the formula for calculating realized or historical volatility over a period of time. Paul Wilmott claims the formula in his book is: SQRT(252) * SQRT(AVERAGE_OF_LOG_RETURNS) But in some other sources, it involves the average variance from the mean, for example...

  2. Optimize option pricing in GPU

    Hi, I am asked to optimize an option pricing algorithm in Cuda GPU and vectorized the algorithms as much as possible. I am a novice and just wondering if anybody here knows any resources that I can read and study? In my first experiment, I tried to optimize a loop in random variable generation...

  3. My simulated Wiener process (Matlab)

    Hi, I am using Matlab to simulate a pure Wiener process. The initial value is 1, drift is 0, diffusion is 1, 100 timesteps, 1000 paths, from t = 0 to 1. My results is attached with this post. My graph clearly shows the expected value at T = 1 is 1, so this is good. Theoretical Wiener has...
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