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Jan
29
accepted About the Feller Condition in Heston Calibration
Jan
29
awarded  Curious
Jan
28
comment About the Feller Condition in Heston Calibration
Thanks for the comment @q.t.f. This is the kind of information I'm looking for. Have you read that in an article or do you know it from experience? Can it differ from market to market? I have seen a few articles incorporating the Feller condition as a constraint, and some do not.
Jan
28
asked About the Feller Condition in Heston Calibration
Sep
23
awarded  Necromancer
Nov
24
awarded  Tumbleweed
Nov
18
answered Relation between IV and SD
Nov
17
asked FX Delta Conventions
Sep
30
awarded  Explainer
Jul
12
comment Prove that the binomial algorithm implies the arbitrage free price at t=0 of a T-claim
Usually you write $E^Q[V_i]$ to denote the expectation under the martingale measure, if it is not clear from the context.
Jul
12
comment Prove that the binomial algorithm implies the arbitrage free price at t=0 of a T-claim
Yes, exactly! A naive version of total expectation is usually introduced in a first class in probability theory. See Wikipedia for more info, if you're interested: en.wikipedia.org/wiki/Law_of_total_expectation
Jul
11
answered Prove that the binomial algorithm implies the arbitrage free price at t=0 of a T-claim
Jul
4
answered Which is the correct definition of arbitrage?
Jul
4
awarded  Commentator
Jul
4
comment Inconsistent Definition of Arbitrage in Bjork?
@BCLC: Yes, it should be >0. Thanks for pointing that out! Since they are definitions they cannot be right or wrong. However the second one makes more sense, and is the one most commonly used in the literature.
Jul
4
revised Inconsistent Definition of Arbitrage in Bjork?
edited body
Jul
4
comment Inconsistent Definition of Arbitrage in Bjork?
@KaapstadKwant: Thanks for pointing out my error!
Jul
4
comment Inconsistent Definition of Arbitrage in Bjork?
Hello BCLC, I corrected my answer since the first one was incorrect.
Jul
4
revised Inconsistent Definition of Arbitrage in Bjork?
Corrected an incorrect answer
Jul
4
answered Inconsistent Definition of Arbitrage in Bjork?