user3378

37 reputation

	37 reputation	bio	website		visits	member for	5 months
3 badges		location			seen	May 12 at 18:50

13 Actions

Dec 24	accepted	easy one step option replication
Dec 23	comment	easy one step option replication I understand the hedging argument. but it conflicts with my intuition. Think in this way, I want to sell you this option that gives you 10\$ in 99% and 0\$ otherwise. Would you pay 6\$ for it? But please don't answer no because hedging argument tells me that 5\$ is the real price.
Dec 22	comment	easy one step option replication So imagine we know that this derivative is option on this stock. I still don't find it intuitive that option is worth 5\$, where with 99% chance you get 10\$.
Dec 22	asked	easy one step option replication
Dec 11	awarded	Supporter
Dec 11	accepted	Simple question about stochastic differential
Dec 11	awarded	Scholar
Dec 11	comment	hedging two bonds in different currencies with FX forward Thanks for the deatiled answer, now I understand you question from the begining. My question was to hedge against exposure to geometric Brownian motion, using only these two bonds, FX forward and possbile zero interest rate savings account. Thank you!
Dec 11	accepted	hedging two bonds in different currencies with FX forward
Dec 11	asked	Simple question about stochastic differential
Dec 10	awarded	Student
Dec 10	comment	hedging two bonds in different currencies with FX forward Could you give me a hint how to do it?
Dec 10	asked	hedging two bonds in different currencies with FX forward