User Sanjay

6 votes

2 answers

3k views

Interpertation of delta hedge error in Black Scholes

asked Mar 26, 2018 at 20:43

5 votes

4 answers

14k views

Calculate strike from Black Scholes delta

asked Aug 5, 2016 at 19:27

4 votes

1 answer

155 views

Compute distribution of a stochastic variable

asked Dec 22, 2018 at 0:14

4 votes

1 answer

426 views

Are extended SABR models useful for options with non-negative underlying

asked Mar 12, 2019 at 4:55

4 votes

1 answer

589 views

How to determine the order of convergence of the Euler-Maruyama method?

asked May 5, 2019 at 8:18

4 votes

1 answer

3k views

Understanding the ZABR model (an extension of SABR)

asked May 20, 2019 at 18:26

4 votes

2 answers

543 views

Simulation scheme for SABR beside the standard Euler discretization

asked Jun 30, 2019 at 12:08

4 votes

0 answers

271 views

The error term of Hagan's approximation of Black's vol in SABR

asked Jul 24, 2019 at 13:38

3 votes

2 answers

634 views

Does high levels of vol-of-vol parameter in SABR lead to Arbitrage? (Something seems wrong with Hagans formula)

asked Jul 7, 2019 at 13:08

3 votes

1 answer

208 views

$\beta = 1$: Simulation of SABR and whether a solution is exact

asked Jul 14, 2019 at 12:47

3 votes

1 answer

109 views

How to check if $ E [\exp \{ \int_0^t \frac{Y_u^2}{1+Y_u^2}du \}]< \infty $

asked Jan 13, 2019 at 10:42

3 votes

3 answers

196 views

How to prove that $X_s=\int^s_0 f(u)dW_u$ is independant from $X_t-X_s$

asked Jan 21, 2019 at 20:31

3 votes

1 answer

191 views

Value-at-Risk for a portfolio model with Gearing

asked Feb 6, 2019 at 21:21

3 votes

1 answer

153 views

Characteristic function and distribution of a random variable

asked Dec 9, 2018 at 18:55

2 votes

1 answer

357 views

Brownian motion. Solve stoc. integral by using Ito's lemma

asked Dec 7, 2015 at 9:56

2 votes

1 answer

712 views

SABR model: from calibration to mapping the smile/skew in a graph

asked Jul 24, 2016 at 22:20

2 votes

1 answer

2k views

SABR in FX market: Advantages / disadvantages

asked Aug 1, 2016 at 23:19

2 votes

0 answers

81 views

Taylor expansion of stochastic variables with dynamics of the form $dX_t=b(\sigma_t,X_t)dW_t$

asked Jul 6, 2019 at 10:48

1 vote

0 answers

35 views

Why do simulation schemes have difficulty in pricing options with low spots?

asked Jul 2, 2019 at 21:27

1 vote

1 answer

2k views

Example of complex structured products on FX market?

asked Jun 28, 2019 at 11:59

1 vote

0 answers

223 views

School project about Black Scholes with stochastic volatility

asked Jan 28, 2016 at 1:20

1 vote

1 answer

358 views

Volatility Smile/skew in volatile markets

asked Aug 8, 2016 at 16:49

1 vote

2 answers

137 views

Is a wiener proces measurable? (exercise from Bjork)

asked Jan 13, 2018 at 16:47

1 vote

1 answer

2k views

Call option with underlying following a Bachelier process

asked Mar 19, 2018 at 17:41

1 vote

1 answer

3k views

Bachelier model call: computation of delta of a call option

asked Mar 20, 2018 at 21:02

1 vote

1 answer

2k views

Deriving Delta Hedge error in the B-S setup (part 2)

asked Mar 25, 2018 at 19:49

1 vote

0 answers

104 views

Mean-cVaR model: How can one include transaction cost

asked Dec 6, 2018 at 8:07

1 vote

0 answers

708 views

Is SABR being used in practice for Equity options

asked Feb 14, 2019 at 14:30

1 vote

1 answer

1k views

Free E-books for students on Volatility Models

asked Jan 18, 2019 at 13:02

0 votes

1 answer

229 views

Scenario generation for Value at risk: How to interpret the scenarios

asked Nov 24, 2018 at 9:06

Stack Exchange Network

30 Questions

Interpertation of delta hedge error in Black Scholes

Calculate strike from Black Scholes delta

Compute distribution of a stochastic variable

Are extended SABR models useful for options with non-negative underlying

How to determine the order of convergence of the Euler-Maruyama method?

Understanding the ZABR model (an extension of SABR)

Simulation scheme for SABR beside the standard Euler discretization

The error term of Hagan's approximation of Black's vol in SABR

Does high levels of vol-of-vol parameter in SABR lead to Arbitrage? (Something seems wrong with Hagans formula)

$\beta = 1$: Simulation of SABR and whether a solution is exact

How to check if $ E [\exp \{ \int_0^t \frac{Y_u^2}{1+Y_u^2}du \}]< \infty $

How to prove that $X_s=\int^s_0 f(u)dW_u$ is independant from $X_t-X_s$

Value-at-Risk for a portfolio model with Gearing

Characteristic function and distribution of a random variable

Brownian motion. Solve stoc. integral by using Ito's lemma

SABR model: from calibration to mapping the smile/skew in a graph

SABR in FX market: Advantages / disadvantages

Taylor expansion of stochastic variables with dynamics of the form $dX_t=b(\sigma_t,X_t)dW_t$

Why do simulation schemes have difficulty in pricing options with low spots?

Example of complex structured products on FX market?

School project about Black Scholes with stochastic volatility

Volatility Smile/skew in volatile markets

Is a wiener proces measurable? (exercise from Bjork)

Call option with underlying following a Bachelier process

Bachelier model call: computation of delta of a call option

Deriving Delta Hedge error in the B-S setup (part 2)

Mean-cVaR model: How can one include transaction cost

Is SABR being used in practice for Equity options

Free E-books for students on Volatility Models

Scenario generation for Value at risk: How to interpret the scenarios