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Nov
4
revised Assuming Black-Scholes assumptions are correct, would the expected return from buying/selling options be 0?
edited title
Nov
4
comment Assuming Black-Scholes assumptions are correct, would the expected return from buying/selling options be 0?
Oh and then it's kind of you're utility function that would reduce this profit because of the embedded risk, right?
Nov
4
revised Assuming Black-Scholes assumptions are correct, would the expected return from buying/selling options be 0?
deleted 38 characters in body; edited title
Nov
4
answered How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?
Nov
4
revised How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?
edited tags; edited title
Nov
4
comment Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?
@BCLC not sure what you mean but I tried to make that part more explicit.
Nov
4
revised Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?
deleted 7 characters in body
Nov
3
revised How to compute simple and log portfolio returns?
added 532 characters in body
Nov
3
revised How to price touch options using quantlib?
deleted 66 characters in body
Nov
3
revised How to price touch options using quantlib?
added 30 characters in body; edited tags; edited title
Nov
3
comment How to derive what effect funding shocks have on conditional market betas?
Ok this is still not clear and the formatting is still not right. I'm closing this until you've cleaned up the formatting and made clear what you're looking to do.
Nov
3
comment How to calculate annualised tracking error?
I think his "returns" are as indicated in the question "relative" returns so they correspond to $\bar{r}_i = r_{t,i} - r_{b,i}$, then he uses the approach from wiki $TE=\sqrt{\text{Var}(\bar{r}_i)}$ is that wrong?
Nov
3
revised How to calculate annualised tracking error?
added 8 characters in body; edited title
Nov
3
answered How to compute simple and log portfolio returns?
Nov
2
comment Why is the time value of an option mathematically always positive?
oh yeah you're right I missed one term. Sorry.
Nov
2
comment How to compute simple and log portfolio returns?
I agree I don't understand why you don't trust the source. I'm also hesitating to close this as a basic finance question, but the topic can be more complicated than expected so having a canonical resource could be interesting.
Nov
2
revised How to compute simple and log portfolio returns?
added 18 characters in body; edited title
Nov
2
revised How to price a credit-risky zero-coupon bond?
added 97 characters in body; edited title
Nov
2
revised Derivation using Ito's Lemma of price process
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Nov
2
revised What is the correct hedging strategy using futures?
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