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  • 17 votes cast
Mar
3
asked Regularity requirement for convergence of Euler scheme for stochastic integral?
Feb
29
accepted Does price of american (put) option exhibit smooth pasting in time direction under B-S model?
Jan
29
comment Does price of american (put) option exhibit smooth pasting in time direction under B-S model?
Anyhow, i see your point, i think it is valid if you put the other terms back - do you know any source which says the second derivative is not continous? (I know this is true for a perpetual option as explicit expression exists, but seen nothing explicit written in the finite horizon put option case)
Jan
29
comment Does price of american (put) option exhibit smooth pasting in time direction under B-S model?
I do not quite understand why you can ignore the other terms. if you have 0 interest rate, an american put is a European put (by convexity of the pay off) then your continution is everywhere and this problem is meaningless.
Nov
26
awarded  Tumbleweed
Nov
19
asked Foresight bias in least square monte carlo
Nov
12
comment Least-Square Monte Carlo in multiple variable
so you recommend trying polynomial ones rather than fancy ones? also, what about cross terms?
Nov
10
comment Least-Square Monte Carlo in multiple variable
one more question if you do not mind, Mark. Are there papers on Americn options for SV model? Or from experience, do you know have intuition about which set of basis functions would be a good starting place for stochastic volatility models such as Bates model or BNS?
Nov
10
comment Least-Square Monte Carlo in multiple variable
thanks again Mark.
Nov
10
revised Least-Square Monte Carlo in multiple variable
edited title
Nov
9
comment Least-Square Monte Carlo in multiple variable
@Gordon thanks a lot. I went to look at it when I saw your first comment.
Nov
9
revised Least-Square Monte Carlo in multiple variable
edited title
Nov
9
asked Least-Square Monte Carlo in multiple variable
Nov
7
comment Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?
I guessed this much, but it is unclear to me how this can be proven in a straightforward manner.
Jun
26
revised Does price of american (put) option exhibit smooth pasting in time direction under B-S model?
added 8 characters in body
Jun
24
comment Hedging portfolio and extraction PDE of SV model with stochastic interest rate
this is for American options... Hence continuation region stuff. The pde only holds in the continuation region.
Jun
23
answered Hedging portfolio and extraction PDE of SV model with stochastic interest rate
Jun
23
asked Does price of american (put) option exhibit smooth pasting in time direction under B-S model?
Jun
16
awarded  Popular Question
Sep
15
comment Question 1.18 from Hull's Financial Risk management CAPM
This is under further question. It is 1.18, sorry for the typo