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A few questions for Mark and Rick

Posted By: Mark Higgins
Date: Thursday, 26 April 2012, at 2:23 p.m.

In Response To: A few questions for Mark and Rick (Rick Janowski)

For the jump model it depends on the jump volatility, of course.

For W=L=1 the initial double point is (96-25*alpha)(120+175*alpha), where alpha is the jump volatility.

The redouble point is (32-50*alpha)/(40-25*alpha).

For the average jump volatility I found of 9.1%, that works out to ID=69.0% and RD=72.8% - not surprisingly, close to Rick's model estimate with the average cube efficiency of 70%.

When W=L=1 though it's probably a race, and jump volatility is typically higher in those cases - more like 15%. In that case I get ID=63.1% and RD=67.8%.

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