network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 6 months |
| seen | 7 hours ago | |
| stats | profile views | 22 |
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May 20 |
revised |
price of a “Cash-or-nothing binary call option” added 11 characters in body |
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May 20 |
revised |
price of a “Cash-or-nothing binary call option” edited body |
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May 19 |
revised |
price of a “Cash-or-nothing binary call option” edited body |
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May 19 |
revised |
price of a “Cash-or-nothing binary call option” added 65 characters in body |
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May 19 |
answered | price of a “Cash-or-nothing binary call option” |
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May 11 |
revised |
What is the average stock price under the Bachelier model? added 18 characters in body |
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May 11 |
answered | how to derive yield curve from interest rate swap? |
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May 11 |
revised |
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? added 36 characters in body |
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May 10 |
answered | RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? |
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May 1 |
revised |
In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$? added 18 characters in body |
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May 1 |
revised |
In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$? added 18 characters in body |
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May 1 |
answered | In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$? |
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Mar 26 |
comment |
Does implied vol vary for calls vs puts? cf16: 1. I agree with the conclusion but do not follow your reason, as I said. To derive put-call parity, we use model-free arbitrage arguments (e.g., without referring to any implied volatility, etc.). Then you suddenly claim that put-call parity "means that volatility of call...is the same as volatility of put". 2. In addition, the version of put-call parity you referenced does not hold true for American options [ math.nyu.edu/~cai/Courses/Derivatives/lecture8.pdf ]. One needs to use a version with inequalities: $$ S_0 - K \leq C- K \leq S_0 - K e^{-r t} $$ |
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Mar 26 |
awarded | Commentator |
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Mar 26 |
awarded | Critic |
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Mar 26 |
comment |
Does implied vol vary for calls vs puts? I do not follow your reasoning at all. Invoking put-call parity does not lead one to say that the "volatility of call...is the same as volatility of put", as put-call parity can be derived using model-free arguments only (i.e., without using the Black-Scholes model, etc.). |
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Mar 13 |
comment |
How to implement a long-term trade on oil? Freddy: No one asked you if or how crude oil would go down, but you rattled off a bunch of scenarios regarding Iran, world peace, etc. |
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Mar 6 |
comment |
How does the “risk-neutral pricing framework” work? This answer does not mention the change of measure from the real-world probability measure to the risk-neutral one, which I think is needed in order to understand the (first) fundamental theorem of asset pricing [ en.wikipedia.org/wiki/Fundamental_theorem_of_asset_pricing ]. |
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Mar 6 |
comment |
How to implement a long-term trade on oil? Freddy: the OP stated that "I believe that one of the most compelling case of long-term trade is the long position on oil." The issue here is not "if" the OP should go long crude, but "how" to do it. |
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Mar 6 |
comment |
How to implement a long-term trade on oil? Darren: I'm glad you agreed with me. The front-month WTI crude is trading at \$91. If someone is interested to go long crude for the long-term, it seems silly NOT to take advantage of the backwardation to buy some 3 years out at \$86 or 5 years out at \$83. |
