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seen Aug 21 '12 at 15:18

Oct
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awarded  Notable Question
Aug
21
awarded  Popular Question
Mar
11
awarded  Popular Question
Jul
26
awarded  Analytical
Jul
4
asked Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would?
Jun
21
accepted Why do some people claim the delta of an ATM call option is 0.5?
Jun
21
comment Why do some people claim the delta of an ATM call option is 0.5?
thanks got it, so basically at maturity only the delta of ATM call option is equal to 0.5 and not during the life of option.
Jun
21
comment Why do some people claim the delta of an ATM call option is 0.5?
Can someone explain me why [(r+sigma^2/2)*t]/[sigma *sqrt(t)]is equal to zero? I see r and sigma as positive nos , so am I correct in thinking that mathematically a delta of call option is not exactly equal to 0.5?
Jun
21
awarded  Scholar
Jun
21
accepted Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
Jun
21
asked Why do some people claim the delta of an ATM call option is 0.5?
Apr
8
awarded  Supporter
May
26
awarded  Student
May
26
asked Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?