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May
9
reviewed Approve suggested edit on When calculating CIP between EU and US, which interest rates data to use?
May
5
awarded  Popular Question
May
4
reviewed Approve suggested edit on Obtaining a consistent covariance matrix for stochastic volatility processes
Apr
25
reviewed Approve suggested edit on Calculating Geometric mean
Apr
8
revised Foward-start option pricing
spelling
Apr
8
revised Non-arbitrage theory and existence of a risk premium
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Apr
8
comment Non-arbitrage theory and existence of a risk premium
Can you please tell from which book is this question?
Apr
4
reviewed Approve suggested edit on Does DOM trading using broker data make any sense?
Apr
4
reviewed Approve suggested edit on Stochastic modeling of stock price process
Mar
23
reviewed Approve suggested edit on Black-Scholes and Fundamentals
Mar
20
reviewed Approve suggested edit on Why the implied volatilities calculated are so different
Mar
18
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Chan-HoSuh No, it wouldn't. You don't hold the same number of stock for arbitrary lengths of time. You continuously adjust it to make your portfolio of underlying and short option risk free.
Mar
18
comment Kolmogorov-Smirnov test
@AnthonyMaster See quant.stackexchange.com/questions/341/what-is-a-martingale
Mar
18
comment Calculate the expectation of a shift CDF
+1 Good solution.
Mar
17
comment Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
@bytefire Geometric Brownian motion
Mar
16
answered Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
Mar
16
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Chan-HoSuh You can hedge because you can continuously adjust the position in underlying, i.e. do dynamic hedging. Also note that in general you don't need a hedging strategy to get a price for a contingent claim.
Mar
15
reviewed Approve suggested edit on Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Mar
15
answered Doesn't a perpetual option contradict the Black-Scholes framework?
Mar
15
answered Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR