network profile
| bio | website | |
|---|---|---|
| location | Sweden | |
| age | ||
| visits | member for | 1 year, 1 month |
| seen | yesterday | |
| stats | profile views | 12 |
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May 1 |
awarded | Yearling |
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Jun 21 |
comment |
Why do some people claim the delta of an ATM call option is 0.5? Well, as Tal Fishman and Richard pointed out, it depends on what you mean by an ATM call option. In my answer I assumed K=S(t), and then the delta is exactly equal to 0.5 only at maturity. |
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Jun 21 |
comment |
Why do some people claim the delta of an ATM call option is 0.5? Are you asking when [(r+sigma^2/2)*(T-t)]/[sigma * sqrt(T-t)] is equal to zero? If so, please see my answer below |
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Jun 21 |
answered | Why do some people claim the delta of an ATM call option is 0.5? |
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Jun 2 |
awarded | Supporter |
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Jun 2 |
revised |
What is the implied volatility skew? deleted 7 characters in body |
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Jun 1 |
awarded | Teacher |
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Jun 1 |
answered | What is the implied volatility skew? |
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Jun 1 |
answered | When do Finite Element method provide considerable advantage over Finite Differences for option pricing? |
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May 1 |
awarded | Student |
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May 1 |
awarded | Editor |
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May 1 |
revised |
Good reference on sample autocorrelation? deleted 1 characters in body |
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May 1 |
asked | Good reference on sample autocorrelation? |
