278 reputation
18
bio website non-existent
location United Kingdom
age 23
visits member for 1 year, 4 months
seen Apr 16 at 18:25

I study (not enough) maths, but mainly probability.


Apr
16
comment Exercising an American call option early
Basically you'd make more money by selling the option than exercising. I am surprised no one actually gave a proof here...
Feb
21
revised why is the BNS model the way it is
added 2 characters in body
Feb
20
revised why is the BNS model the way it is
added 60 characters in body
Feb
20
comment why is the BNS model the way it is
@Probilitator onlinelibrary.wiley.com/doi/10.1111/1467-9868.00282/abstract here
Feb
19
asked why is the BNS model the way it is
Jan
30
asked How does Vega of a call/put behave under the Black-Scholes model?
Jan
19
asked a good book on option pricing from theoretical and practical aspect
Jan
19
comment How to choose a risk-neutral measure when the market is incomplete?
In my work, we just assume it is an EMM and what I do is true for all EMM of that particular model anyway. In particularly, I am looking at BNS model. I think the difficulty is actually picking a 'correct' Levy process to model the volatility, which is hard. Doing this is definitely a non trivial problem in statistical inference, which does not interest me, in particular
Jan
19
accepted How to choose a risk-neutral measure when the market is incomplete?
Jan
16
comment How to choose a risk-neutral measure when the market is incomplete?
@quasi i see, unless you can trade volatility as an asset, this is starting to ring a bell.
Jan
8
accepted Under an EMM, does there necessarily exist a replicating portfolio?
Jan
8
comment Under an EMM, does there necessarily exist a replicating portfolio?
right i see. maybe my question should have been 'what does it mean by a market is complete'
Jan
8
comment Under an EMM, does there necessarily exist a replicating portfolio?
but that says complete market iff unique EMM, but does unique EMM/completeness mean replication is possible?
Jan
8
asked Under an EMM, does there necessarily exist a replicating portfolio?
Jan
2
comment Stochastic volatility model with exponential OU volatility
Thank you again Richard. I am actually working on theoretical aspects of American options under BNS model. I just wanted to see if there are other models where my techniques can be applied, so your references are extremely helpful.
Jan
1
accepted Stochastic volatility model with exponential OU volatility
Dec
30
comment Stochastic volatility model with exponential OU volatility
Also $\sigma_t$ here (or square root of it) is modelled as the OU not the exponential of OU?
Dec
30
revised Stochastic volatility model with exponential OU volatility
edited body
Dec
30
comment Stochastic volatility model with exponential OU volatility
I wouldn't say this model is more general? BNS uses a jump process, this is a BM. different approaches to dress the leverage effect.
Dec
30
comment Stochastic volatility model with exponential OU volatility
I am actually looking at the BNS model. this is helpful. thank you.