251 reputation
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location Sweden
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visits member for 1 years, 11 months
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Apr
6
asked Price volatility and yield volatility
Feb
4
awarded  Critic
Jan
23
answered Lookback option explicit formula using Black Scholes
May
1
awarded  Yearling
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.
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
Jun
21
answered Why do some people claim the delta of an ATM call option is 0.5?
Jun
2
awarded  Supporter
Jun
2
revised What is the implied volatility skew?
deleted 7 characters in body
Jun
1
awarded  Teacher
Jun
1
answered What is the implied volatility skew?
Jun
1
answered When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
May
1
awarded  Student
May
1
awarded  Editor
May
1
revised Good reference on sample autocorrelation?
deleted 1 characters in body
May
1
asked Good reference on sample autocorrelation?