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Lost1

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


172 reputation
bio website non-existent visits member for 6 months
7 badges
location United Kingdom seen Jun 14 at 13:48
summary answers questions tags badges favorites bounties reputation activity

6 Questions

views newest activity votes
2
4
votes
1
answer
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Black-Scholes American Put Option

black-scholes american-options
nov 29 at 18:31 Lost1 172
 
3
votes
1
answer
76
views

Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?

volatility option-pricing black-scholes
jun 10 at 15:40 Brian B 6,183
 
3
votes
2
answers
236
views

Is vega of Black-Scholes European type option always positive?

black-scholes european-options
may 7 at 13:43 Brian B 6,183
 
2
votes
2
answers
139
views

Quadratic variation quesiton

stochastic-calculus
may 13 at 13:56 Christian Fries 921
 
1
vote
2
answers
103
views

Relationship between European, American options volatility

volatility black-scholes american-options jump-models
may 7 at 15:20 ast4 371
 
0
votes
1
answer
88
views

Reference on SDE driven by jump processes

option-pricing
feb 22 at 9:45 Richard 1,399
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