User Mark Joshi

17 votes

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Why does the Markowitz mean-variance model require the assumption of normality?

answered Apr 24, 2017 at 1:24

13 votes

Why the expected return rate of a stock has nothing to do with its option price?

answered Apr 28, 2015 at 4:54

12 votes

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Why doesn't Black-Scholes assume the absence of statistical arbitrage?

answered Nov 23, 2014 at 23:19

11 votes

Exercising an American call option early

answered May 4, 2015 at 20:57

10 votes

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Intuitive Reasoning for Using Risk-Neutral Measure

answered May 11, 2015 at 22:34

10 votes

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Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)

answered Nov 12, 2014 at 22:52

10 votes

Greeks: Why does my Monte Carlo give correct delta but incorrect gamma?

answered Jun 7, 2015 at 23:51

9 votes

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American Call: when it's European?

answered May 6, 2015 at 9:31

9 votes

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Determining price of Option interview question

answered Sep 11, 2017 at 23:54

8 votes

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When is the LIBOR market model Markovian?

answered Dec 20, 2011 at 19:44

7 votes

Rate interpolation in Libor Market Model

answered Dec 20, 2011 at 19:46

7 votes

Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?

answered Jan 16, 2012 at 0:35

7 votes

For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?

answered May 15, 2015 at 20:53

7 votes

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Is the Brownian motion multiplication rule a definition or is it a theorem?

answered Jun 2, 2015 at 0:39

7 votes

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Why is the variance of a portfolio a quadratic form?

answered May 3, 2015 at 23:59

7 votes

What does it mean to be "long or short in volatility"?

answered Jan 21, 2015 at 23:08

7 votes

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When do CDS curves yield arbitrage opportunities?

answered Feb 16, 2015 at 7:11

7 votes

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Two different ways of pricing that leads to two answers

answered Jul 6, 2015 at 11:34

7 votes

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What are some examples of non-solvable SDE where Monte Carlo discretization is necessary

answered Jul 20, 2015 at 10:13

7 votes

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European Call Option Delta Upper Bound

answered Dec 13, 2015 at 9:45

7 votes

Heston Model Integration Oscillations

answered Jul 14, 2016 at 1:06

7 votes

Using a Constant as a Numeraire

answered Aug 18, 2016 at 6:22

6 votes

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What models / methods are used in practice in derivative pricing?

answered Jun 2, 2016 at 1:43

6 votes

How to calculate Implied Volatility for out-of-the-money options?

answered Apr 14, 2016 at 23:36

6 votes

American put for negative interest rates

answered Jun 9, 2015 at 22:00

6 votes

Accepted

Physical or Real-world Probability Measure

answered Jun 11, 2015 at 23:02

6 votes

Importance Sampling - where to center the sampling distribution?

answered Jun 15, 2015 at 21:39

6 votes

Option with payoff $K^2/S^2$

answered Aug 28, 2015 at 4:10

6 votes

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Can I add the greeks of individual postions to obtain greeks for the portfolio

answered Feb 12, 2015 at 1:05

6 votes

Using Black-Scholes to price a geometric average price call

answered Apr 20, 2015 at 22:01

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177 Answers

Why does the Markowitz mean-variance model require the assumption of normality?

Why the expected return rate of a stock has nothing to do with its option price?

Why doesn't Black-Scholes assume the absence of statistical arbitrage?

Exercising an American call option early

Intuitive Reasoning for Using Risk-Neutral Measure

Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)

Greeks: Why does my Monte Carlo give correct delta but incorrect gamma?

American Call: when it's European?

Determining price of Option interview question

When is the LIBOR market model Markovian?

Rate interpolation in Libor Market Model

Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?

For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?

Is the Brownian motion multiplication rule a definition or is it a theorem?

Why is the variance of a portfolio a quadratic form?

What does it mean to be "long or short in volatility"?

When do CDS curves yield arbitrage opportunities?

Two different ways of pricing that leads to two answers

What are some examples of non-solvable SDE where Monte Carlo discretization is necessary

European Call Option Delta Upper Bound

Heston Model Integration Oscillations

Using a Constant as a Numeraire

What models / methods are used in practice in derivative pricing?

How to calculate Implied Volatility for out-of-the-money options?

American put for negative interest rates

Physical or Real-world Probability Measure

Importance Sampling - where to center the sampling distribution?

Option with payoff $K^2/S^2$

Can I add the greeks of individual postions to obtain greeks for the portfolio

Using Black-Scholes to price a geometric average price call