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  • 16 votes cast
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
Sep
15
accepted Question 1.18 from Hull's Financial Risk management CAPM
Sep
15
revised Question 1.18 from Hull's Financial Risk management CAPM
edited title
Sep
15
asked Question 1.18 from Hull's Financial Risk management CAPM
Aug
18
asked For an affine process, how do we know the second order term is positive definite?
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...