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Sep
1
answered Adjusting index betas for spread DV01
Sep
1
answered Sharpe Ratio for strategies with different rebalancing period
Aug
31
comment Approximate asian geometric option with Heston
The skew of stochastic vol increments is quite, high, making Euler scheme prices inaccurate...though you have 6 digits of precision on your MC price estimate, it is likely that the true price is significantly different.
Aug
31
comment Approximate asian geometric option with Heston
Can you post your Monte Carlo code, too? If you are using Euler discretization that could be a problem.
Aug
24
awarded  black-scholes
Aug
18
answered Analytical soluton to the Black-Scholes equaiton with a modified European Call Option
Aug
17
answered Analytical solution for a modified Black-Scholes equation
Aug
12
answered Numerical Solution to BS PDE - Digital Option
Aug
11
answered Order Execution Algorithms
Jul
6
revised Beta between stock and option
added terminal distribution integrals and comments on instantaneous versus terminal
Jul
6
revised VaR calculation methods of options
added 702 characters in body
Jul
6
answered VaR calculation methods of options
Jul
6
answered Beta between stock and option
Jul
6
revised Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
include cutoffs
Jul
1
awarded  Nice Answer
Jun
29
awarded  Nice Answer
Jun
29
comment How to derive the implied probability distribution from B-S volatilities?
Thanks, @Robino.
Jun
29
revised How to derive the implied probability distribution from B-S volatilities?
added 51 characters in body
Jun
9
reviewed No Action Needed Calculating Fees (Kane, Marcus, and Trippi)
Jun
9
reviewed No Action Needed Simulate (imaginary) asset prices using random numbers that follow a Frank Copula