mathjacks
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 May17 accepted How to derive equivalent martingale measure using Ito's Lemma May17 asked How to derive equivalent martingale measure using Ito's Lemma May17 asked Derive instantaneous forward rate May3 accepted Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE? Apr30 asked Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE? Apr20 awarded Tumbleweed Mar22 comment How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model Thank you, Probilitator. Mar21 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. Mar21 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 $\Delta$. Mar21 awarded Supporter Mar21 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 $u(\Delta t) = e^{-\sigma \sqrt{\Delta t}}$? Mar21 awarded Scholar Mar21 accepted How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model Mar20 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? Mar19 asked How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model Aug16 awarded Student Aug16 asked Prove or disprove “If at least 10% of an option's value is time value, it has a delta less than 90”