Lost1

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seen May 17 at 14:21
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I study (not enough) maths, but mainly probability.


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May
17
 comment Is vega of Black-Scholes European type option always positive?
I am thinking about this question again. Let the pay off function be dependent on $S_t$ only, i.e. $g(S_t)$. I believe we can show if $g$ is convex, then so must the option price be. Put and calls are obvious applications for this.
May
15
 accepted Quadratic variation quesiton
May
11
 revised Quadratic variation quesiton
edited title
May
11
 comment Quadratic variation quesiton
What i am asking is, how do you know the expression for part （ii） using knowledge of quadratic variation?
May
11
 comment Quadratic variation quesiton
how is this any different to the answer for part (ii) where you are asked to show that was the case using ito's formula?
May
11
 awarded  Critic
May
11
 asked Quadratic variation quesiton
May
8
 comment Relationship between European, American options volatility
Even in models where volatility exhibits jumps? I don't quite follow why 'rendering price insensitive to volatility in some regions of parameter space'
May
7
 comment Relationship between European, American options volatility
thank you for your input but maybe I have not phrased the question well enough. I would be more interested in a case when the European put is monotone in volatility at $t=0$ but American put isn't (or vice versa). At the moment, I think I can show it to be the case for European put for the model I am working on but not the American one.
May
7
 revised Relationship between European, American options volatility
added 169 characters in body
May
7
 asked Relationship between European, American options volatility
May
7
 accepted Is vega of Black-Scholes European type option always positive?
May
4
 awarded  Supporter
May
4
 comment Is vega of Black-Scholes European type option always positive?
hence my question has two parts. one regarding put and call, the other regarding to a general pay off, which we may just assume to be a positive fuction
May
4
 asked Is vega of Black-Scholes European type option always positive?
Apr
11
 awarded  Autobiographer
Feb
22
 accepted Reference on SDE driven by jump processes
Feb
21
 comment Reference on SDE driven by jump processes
@olaker just general theory? an introductory one would be good.
Feb
21
 asked Reference on SDE driven by jump processes
Dec
1
 awarded  Scholar
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