301 reputation
110
bio website non-existent
location United Kingdom
age 23
visits member for 1 year, 8 months
seen 2 days ago

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


Jul
17
accepted How does Vega of a call/put behave under the Black-Scholes model?
Jul
17
comment How does Vega of a call/put behave under the Black-Scholes model?
A convex function cannot be 0 and both 0 and infinity.
Jul
2
awarded  Curious
Jun
9
revised Dealing with the stock numeraire
added 11 characters in body
Jun
9
awarded  Teacher
Jun
9
accepted Boundary condition for Asian Option under Black-Scholes model
Jun
9
comment Boundary condition for Asian Option under Black-Scholes model
thanks a lot for checking this. The problem with Taylor approximation is that the trucation error can potentially be very big, but I guess if you take parameters r=0.05 and T-t=1, the error is tolerable.
Jun
8
answered Dealing with the stock numeraire
Jun
8
asked Boundary condition for Asian Option under Black-Scholes model
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?