User q.t.f.

10 votes

Why is there greater demand for OTM and ITM options than for ATM options?

answered May 1, 2017 at 21:37

9 votes

Accepted

What is the fair price of this option?

answered Mar 24, 2015 at 21:28

7 votes

Why dynamics of local volatility is wrong?

answered May 18, 2015 at 20:46

7 votes

A Difference between Local Vol and Stochastic Vol Models

answered May 21, 2015 at 10:02

6 votes

Accepted

SPX Trading Capital: What happened on December 5, 2016?

answered Feb 23, 2018 at 15:02

6 votes

How to select the initial guess for implied volatility?

answered Feb 22, 2016 at 21:32

5 votes

Proof of arbitrage-free implied volatility surface in relation to local volatility surfaces

answered Oct 7, 2017 at 1:06

5 votes

Accepted

About the Feller Condition in Heston Calibration

answered Jan 28, 2016 at 13:39

5 votes

Accepted

Estimate simple option price without a calculator

answered May 19, 2015 at 13:00

5 votes

Why does the short rate in the Hull White model follow a normal distribution?

answered May 18, 2015 at 21:15

5 votes

Does Implied Volatility always exist?

answered Aug 29, 2014 at 15:55

5 votes

Would this extremely simple strategy make money?

answered Sep 5, 2014 at 20:22

4 votes

Accepted

Do we need Feller condition if volatility process jumps?

answered Dec 17, 2014 at 21:24

4 votes

Time-independent local volatility

answered Feb 24, 2015 at 22:17

4 votes

Price of an asian option with squared of average payoff

answered Mar 17, 2015 at 17:23

4 votes

Negative time value european options

answered May 19, 2015 at 1:55

4 votes

simple, intuitive barrier option derivation

answered May 21, 2015 at 1:56

3 votes

Accepted

Relationshiop between central bank official currency rates and spot forex

answered May 6, 2015 at 15:27

3 votes

FX Delta Conventions

answered May 7, 2015 at 12:15

3 votes

Bloomberg implied volatility smile for equities

answered Sep 9, 2015 at 12:58

3 votes

Quantitative features of asset price bubbles beginning

answered May 21, 2018 at 21:08

3 votes

How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)

answered Feb 23, 2018 at 17:09

3 votes

Which risk-free interest rate to use in Black-Scholes equation

answered Mar 1, 2018 at 12:45

3 votes

Constructing a minute-by-minute volatility curve

answered Feb 22, 2016 at 21:20

3 votes

Is this type of currency index a thing already?

answered Jun 30, 2016 at 2:51

2 votes

Accepted

MTM Hedging Performance of Vanna-Volga

answered Apr 18, 2018 at 20:58

2 votes

How do I calculate the probability of a stock being above or below a value using the Heston model?

answered Aug 4, 2015 at 23:18

2 votes

Accepted

Using FX ATM/RR/BF Volatility to Estimate Smile

answered May 29, 2015 at 20:49

2 votes

Calibration Merton Jump-Diffusion

answered Jun 1, 2015 at 13:46

2 votes

Why can't you arb skew by buying options with low implied vol and selling high implied vol in the same month and dynamically hedging?

answered Jun 29, 2015 at 18:23

Stack Exchange Network

53 Answers

Why is there greater demand for OTM and ITM options than for ATM options?

What is the fair price of this option?

Why dynamics of local volatility is wrong?

A Difference between Local Vol and Stochastic Vol Models

SPX Trading Capital: What happened on December 5, 2016?

How to select the initial guess for implied volatility?

Proof of arbitrage-free implied volatility surface in relation to local volatility surfaces

About the Feller Condition in Heston Calibration

Estimate simple option price without a calculator

Why does the short rate in the Hull White model follow a normal distribution?

Does Implied Volatility always exist?

Would this extremely simple strategy make money?

Do we need Feller condition if volatility process jumps?

Time-independent local volatility

Price of an asian option with squared of average payoff

Negative time value european options

simple, intuitive barrier option derivation

Relationshiop between central bank official currency rates and spot forex

FX Delta Conventions

Bloomberg implied volatility smile for equities

Quantitative features of asset price bubbles beginning

How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)

Which risk-free interest rate to use in Black-Scholes equation

Constructing a minute-by-minute volatility curve

Is this type of currency index a thing already?

MTM Hedging Performance of Vanna-Volga

How do I calculate the probability of a stock being above or below a value using the Heston model?

Using FX ATM/RR/BF Volatility to Estimate Smile

Calibration Merton Jump-Diffusion

Why can't you arb skew by buying options with low implied vol and selling high implied vol in the same month and dynamically hedging?