mathjacks
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### Questions (6)

 7 Prove or disprove “If at least 10% of an option's value is time value, it has a delta less than 90” 5 What does the cointegration coefficient represent in pairs trading when cointegrating log stock prices? 3 How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model 0 How to derive equivalent martingale measure using Ito's Lemma 0 Derive instantaneous forward rate

### Reputation (185)

 +25 What does the cointegration coefficient represent in pairs trading when cointegrating log stock prices? +5 Prove or disprove “If at least 10% of an option's value is time value, it has a delta less than 90” +3 Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE? +5 How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model

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### Tags (11)

 0 black-scholes × 2 0 itos-lemma 0 cointegration 0 martingale 0 forward-rate 0 options 0 greeks 0 pairs-trading 0 interest-rates 0 risk-neutral-measure

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