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mbison's user avatar
mbison
  • Member for 8 years, 10 months
  • Last seen more than a week ago
5 votes

Why is this delta-hedging/P&L example on a variance swap call correct?

5 votes

Sharpe ratio with leveraged ETFs

5 votes
Accepted

Portfolio of sum of two Bachelier processes

5 votes

Intuitively speaking, why do at the money options have no volga/convexity?

4 votes

Can the concept of negative probabilities be used to price a call option?

4 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?

3 votes
Accepted

At-the-money Call Spread approximation

3 votes

Forward contract pricing of coupon paying security

3 votes

delta hedging strategy for OTM option

3 votes
Accepted

Does presence of arbitrage necessarily make all derivatives have zero value?

3 votes

Model Price vs Market Price in terms of Fair Price (Options)

3 votes
Accepted

What is the source of the money in a leverage transaction?

3 votes

Increasing the correlation of two asset reduce the value of spread option.

2 votes
Accepted

Technical indicator MACD - Does the D stands for the Math divergence?

2 votes
Accepted

Estimate Options Delta By Hand

2 votes

How to identify daily returns as an unusual daily return given a dataset

2 votes

Risk of bond calculation

2 votes

Is there economic/intuitive reason why the treynor-black model favour low delta instruments?

2 votes
Accepted

Why isn't a quanto adjustment needed in this case?

2 votes

VaR mapping - Forward Foreign Currency Contract

2 votes
Accepted

Problem with deriving the dynamics of a process

2 votes
Accepted

Pricing Secured Barrier Call

2 votes
Accepted

How to calculate the VaR of a portfolio containing Stocks and ETFs?

2 votes
Accepted

How variance dispersion trades become short volatility

2 votes

Delta-hedging non-volatile stock

2 votes
Accepted

Estimating profit/loss of a Gold Futures option using Theta and Gamma

2 votes
Accepted

Probability of Stock breaching barrier

2 votes

What is the correlation of stock options?

1 vote

Use of Black-Scholes Model on Guaranteed Fund Investment

1 vote
Accepted

VIX Calculation - weighting of strikes