260 reputation
16
bio website
location
age
visits member for 2 years, 11 months
seen Oct 7 at 14:18

Apr
6
comment How to price this option without using BS framework
Are you sure about your result? Assuming geometric Brownian motion, the probability of the stock price reaching $H>0$ is equal to $1$ (with infinite time). So the price of the option should be $1$ dollar, if interest rates are zero.
Feb
21
comment Basket Option weight sensitivity calculation
@h.l.m I'm not sure what you are asking. For sensitivities at $t=0$ just choose the initial weights of the product, price, change the weight you want to compute the sensitivity and reprice.
Feb
19
answered Basket Option weight sensitivity calculation
Feb
13
awarded  Commentator
Feb
13
comment Is it possible to understand financial theory without mathematics?
You realize that it doesn't have to be that way. Mathematics are a tool that allows you to formalize and be precise about what you mean. I personally understand any concept much better when someone writes some math. Before than that, everything looks fuzzy or arbitrary. Mathematics are a great tool to have and understand, and I feel that is responsibility of the professor to translate that intuition to mathematics. In other words, if you can explain something without the maths, you can explain the same with the maths (unless you don't understand them) and it will be even better.
Feb
13
revised Value of American Call vs Value of European Call when using implicit finite differences
added 68 characters in body
Feb
7
answered Value of American Call vs Value of European Call when using implicit finite differences
Jan
23
answered Extrapolating implied volatilities to small time
Jan
23
revised Price of a down-and-out call in terms of European call
added knock out formula
Jan
23
revised Price of a down-and-out call in terms of European call
added knock out formula
Jan
23
answered Price of a down-and-out call in terms of European call
Jan
19
awarded  Critic
Nov
3
awarded  Yearling
May
14
comment Covariance of brownian motion and its time average
Where did you get the expression for $\bar{X}$? It doesen't seems right to me.
Apr
7
answered Stochastic modeling of stock price process
Mar
26
answered Does implied vol vary for calls vs puts?
Feb
3
awarded  Informed
Jan
31
answered How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan
29
comment What are the options for a mathematician to break into QF without working for a fund?
Also take a look at QuantNetwork . In the forums they can give you some good career advice for entry level QF positions.
Oct
17
answered How to transform process to risk-neutral measure for Monte Carlo option pricing?