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| bio | website | eden.rutgers.edu/~cs869 |
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| location | ||
| age | ||
| visits | member for | 11 months |
| seen | May 9 at 23:42 | |
| stats | profile views | 10 |
Student in the M.S. in Mathematical Finance program at Rutgers. Previously a math researcher in academia.
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Mar 18 |
comment |
Doesn't a perpetual option contradict the Black-Scholes framework? @Alexey, I'm not sure I understand. Dynamically hedging the perpetual put would require shorting the stock for arbitrary lengths of time, would it not? |
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Mar 18 |
comment |
Doesn't a perpetual option contradict the Black-Scholes framework? @Freddy, I didn't say that. I said "if". |
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Mar 16 |
awarded | Critic |
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Mar 16 |
comment |
Doesn't a perpetual option contradict the Black-Scholes framework? That's my point though. If shorting stock for arbitrary lengths of time is not allowed, then how can you delta-hedge this perpetual option? And if you can't delta-hedge the option, how is the price you get under risk-neutral pricing argument the price? |
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Mar 15 |
awarded | Editor |
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Mar 15 |
revised |
Doesn't a perpetual option contradict the Black-Scholes framework? update to clarify some issues |
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Mar 15 |
comment |
Doesn't a perpetual option contradict the Black-Scholes framework? Freddy, yes, I'm aware it's a theoretical construct, and my question is a theoretical one. Is that not appropriate for this site? Also, please rest easy that I am occupying the bulk of my time with other thoughts. :) |
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Mar 14 |
awarded | Student |
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Mar 14 |
asked | Doesn't a perpetual option contradict the Black-Scholes framework? |
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Nov 24 |
comment |
Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly? Using r=0 is a great simplification that shows the real "culprit" behind the greater than 0.5 delta. |
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Nov 24 |
awarded | Teacher |
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Nov 24 |
awarded | Supporter |
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Nov 24 |
answered | Monte carlo methods for vanilla european options and Ito's lemma. |
