Questions tagged [proof]
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European Call price for an asset with mean reverting (Vasicek model) dynamics
Let's look at a stock with a mean reverting price dynamics:
$$dS_t = a(S-S_0)dt + \sigma dW_t$$
If we let $\sigma=0.25$ and $a=-0.5$ then the variance of this process is: $$Var(S_t) = 0.199\sim0.2$$
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Proof of Calendar-Spread-Inequality
The Calendar-Spread-Inequality compares the prices of two European Call Options on the same underlying non-dividend-paying stock, but with different maturities $T_1<T_2$. Denote the value of a call ...
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Prove Subadditivity - Entropic Value at Risk
Any insight in how to prove the following risk measure is subadditive?
$\rho_{1-\alpha}(X) = \inf_{z>0}\{z^{-1}\ln(\frac{E[e^{zX}]}{\alpha})\}$, with $\alpha \in ]0,1]$
I want to prove it is a ...
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Deriving Delta Hedge error in the B-S setup (part 2)
In this paper paper page 16-19 by Davis
and this discussion
derivation of the hedging error in a black scholes setup,
the derivation of the delta hedging error in the Black Scholes model is discussed.
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