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seen Aug 14 at 13:21

May
17
accepted How to derive equivalent martingale measure using Ito's Lemma
May
17
asked How to derive equivalent martingale measure using Ito's Lemma
May
17
asked Derive instantaneous forward rate
May
3
accepted Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE?
Apr
30
asked Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE?
Apr
20
awarded  Tumbleweed
Apr
13
asked What are the theta and vega of a forward starting plain vanilla european option with no dividend?
Mar
22
comment How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
Thank you, Probilitator.
Mar
21
comment How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
Great thank you. Looking forward to your addition to the answer. It's been incredibly helpful so far.
Mar
21
comment How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
I meant to say "a function of $\Delta t$" not just $\Delta$.
Mar
21
awarded  Supporter
Mar
21
comment How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
How do you know u is a function of $\Delta t$ and not, say, a function of $\Delta$ and $r$? And how do you "guess" to set $u(\Delta t) = e^{-\sigma \sqrt{\Delta t}}$?
Mar
21
awarded  Scholar
Mar
21
accepted How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
Mar
20
comment How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
I'm actually just curious about how to derive the value of u that I listed given the formula that I have. From Hull, I don't get a clear picture of how that derivation happens and I imagine it's a matter of simple mathematics?
Mar
19
asked How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
Aug
16
awarded  Student
Aug
16
asked Prove or disprove “If at least 10% of an option's value is time value, it has a delta less than 90”