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Calculon
  • Member for 9 years, 9 months
  • Last seen more than a month ago
8 votes
1 answer
1k views

Hedging error in a stochastic volatility model

7 votes
1 answer
2k views

Calibrating Hull-White model

6 votes
3 answers
2k views

At the money put and call having the same price

5 votes
1 answer
882 views

Replicating a square derivative with calls and puts

3 votes
2 answers
161 views

Risk Neutral Pricing Necessary Condition

3 votes
3 answers
502 views

The portfolio whose return is the stochastic discount factor

3 votes
1 answer
309 views

Alternative derivation of the Black Scholes formula

2 votes
1 answer
106 views

Factors not working

2 votes
1 answer
280 views

What is the domain of the Black-Scholes operator?

1 vote
0 answers
147 views

Local vol vs stochastic vol in the context of American digital options

1 vote
2 answers
101 views

Value of a continuous cash flow until a random time

1 vote
0 answers
53 views

Continous-time portfolio allocation optimization for a given consumption rate

1 vote
0 answers
94 views

Comparing two portfolio construction strategies

1 vote
2 answers
7k views

Calculating annualized volatility of stock returns

1 vote
0 answers
979 views

Black-Scholes equation for barrier options