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Oct
21
comment Option pricing ? Where to get the dividend yield from?
experquisite: perhaps you could help me with some of the questions I mention here: quant.stackexchange.com/questions/7841/…
Oct
15
revised How to estimate real-world probabilities
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Oct
15
revised How to estimate real-world probabilities
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Aug
25
awarded  Popular Question
Jul
24
comment What happens when bond price is less than the recovery rate
Sam, here is a related question that might be also of interest: quant.stackexchange.com/questions/8483/…
Jul
17
revised How to estimate real-world probabilities
deleted 28 characters in body
Jul
2
awarded  Curious
Jun
21
awarded  Popular Question
May
7
revised Valuation of Cox-Ross-Rubinstein Model
formattting changes and corrected reference to integer b, instead of c
May
7
suggested suggested edit on Valuation of Cox-Ross-Rubinstein Model
Apr
26
awarded  Yearling
Mar
17
revised Call option on a Mutual Fund
use of CAPM approach as proposed real world discounting
Mar
13
accepted Call option on a Mutual Fund
Mar
12
revised Call option on a Mutual Fund
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Mar
12
comment Call option on a Mutual Fund
Thanks again Brian. You are of course right regarding the hedging vs replication strategy. I have just one last question, but it is a bit long for a comment, I will update the original question.
Mar
11
comment Call option on a Mutual Fund
Second comment: If I use the real-world distribution, and the price of risk is modeled as $\frac{\mu-r_f}{\sigma}$ in a GBM framework, could you please elaborate how this choice revert to the Black-Scholes formula with a risk-free rate $r_f$ drift. I think I am missing something here.
Mar
11
comment Call option on a Mutual Fund
Thanks Brian, just two comments: First, since the option is a European call, the hedging strategy will require having a non-negative amount of underlying units in the portfolio. Therefore the no shorting constrain may have limited effect on the hedge. In addition, the fund has daily NAV and units can be bought/sell daily. Do you think this is enough to argue that a drift $r_f$ is more appropriate in this case?
Mar
11
asked Call option on a Mutual Fund
Mar
4
comment Algorithmical replication of a profit and loss function using different options
The link don´t work for me: "Page cannot be crawled or displayed due to robots.txt". Any idea how to get past this?
Jan
22
answered Lookback option explicit formula using Black Scholes