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Yes, many! For example, stock prices aren't actually continuous or smooth. They are discrete and jump...

I have designed a call writing option strategy, where I am rolling the options upon expiry, i.e., my portfolio consists of one short call position at any given time. I have a time series of the value …

I think I could've been more specific with my question. I'm just selling call options on the same stock with price $S$, and at every point in time, I never have more than one short call position in my …

I'm curious to know the best interpretation of the Black-Scholes formula for a European equity call option: $$C(S,t)=S_tN(d_1)-Ke^{-r(T-t)}N(d_2),$$ where $d_1=\frac{1}{\sigma\sqrt{T-t}}\big[\ln(\fr …

I'm in the early stages of developing a swaption pricing model. Suppose $t_1$ is the tenor of the swap rate in years, $F$ is the forward rate of the underlying swap, $X$ is the strke rate of the swap …

Say you have two identical payer swaptions, exception for their terms and tenors. In other words, suppose you have two payer swaptions: $1y10y$ and $10y1y$. All other things being equal, according t …

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the va …