178 reputation
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location Paris, France
age 25
visits member for 1 year, 3 months
seen Apr 8 at 23:35

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 ?
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.
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
9
comment Foward-start option pricing
@BrianB : No, it was a problem wich was proposed in a old exam.
Apr
9
comment Non-arbitrage theory and existence of a risk premium
@quasi: I forgot this condition on $\sigma_t$ while typing. See edition.
Apr
9
comment Non-arbitrage theory and existence of a risk premium
@quasi: You are totally right! Thank you for the correction.
Apr
8
comment Non-arbitrage theory and existence of a risk premium
@AlexeyKalmykov: I really don't know, but I'd like too if it makes part of a book. It was part of an exam question that I couldn't answer. If you find it somewher, please let me know.
Feb
25
comment Upper bound concerning Snell envelope
Sorry everybody, spetially Christian Fries, I totaly misunderstood the procedure to start a bounty and all. I'm ashamed guys.
Feb
23
comment Upper bound concerning Snell envelope
I can't give you a bounty, because firt of all your answer is not suffitiently complete and also I've already obtained very complete answers in math.stackexchange.com/questions/302466/ and mathoverflow.net/questions/121744/… many days before you give yours. So it semms not so ethic of your part start a bounty just to obtain an arbitrage of points. It's the kind of thing I see just in a forum of finance, never in science one.