188 reputation
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location Paris, France
age 26
visits member for 1 year, 7 months
seen 31 mins ago

Mar
30
comment Gamma vs. Volatility Risk
That's perfect for B&S model. But how to relate Vega and gamma a in more general context like local and stochastic vol. models ?
Mar
29
awarded  Promoter
Jan
3
awarded  Yearling
Jun
7
comment Change option B&S pricing
@Imorin: It's not a homework question, even if it's a basic question. I've just got stuck and so I'd like some help. This question interest me as a inspiration for an bigger problem.
Jun
7
awarded  Critic
Jun
6
asked Change option B&S pricing
May
9
accepted Non-arbitrage theory and existence of a risk premium
May
9
awarded  Scholar
May
9
accepted Foward-start option pricing
Apr
18
answered Foward-start option pricing
Apr
15
awarded  Teacher
Apr
12
revised Ito's Lemma - Integrand depends on upper limit of integration
added 14 characters in body
Apr
12
revised Ito's Lemma - Integrand depends on upper limit of integration
added 217 characters in body
Apr
12
comment Ito's Lemma - Integrand depends on upper limit of integration
Of course not. It's a typo, I forgott the terms. Thank you for note that
Apr
12
revised Ito's Lemma - Integrand depends on upper limit of integration
added 204 characters in body
Apr
12
revised Ito's Lemma - Integrand depends on upper limit of integration
added 215 characters in body
Apr
12
answered Ito's Lemma - Integrand depends on upper limit of integration
Apr
11
revised Gamma vs. Volatility Risk
added 53 characters in body
Apr
11
revised Foward-start option pricing
deleted 20 characters in body
Apr
11
revised Foward-start option pricing
added 4 characters in body; edited tags