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Sanjay
  • Member for 8 years, 6 months
  • Last seen more than 1 year ago
6 votes
2 answers
3k views

Interpertation of delta hedge error in Black Scholes

5 votes
4 answers
16k views

Calculate strike from Black Scholes delta

5 votes
2 answers
650 views

Simulation scheme for SABR beside the standard Euler discretization

4 votes
2 answers
718 views

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

4 votes
1 answer
480 views

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

4 votes
1 answer
673 views

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

4 votes
1 answer
3k views

Understanding the ZABR model (an extension of SABR)

4 votes
0 answers
281 views

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

4 votes
1 answer
155 views

Compute distribution of a stochastic variable

3 votes
1 answer
111 views

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

3 votes
3 answers
200 views

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

3 votes
1 answer
198 views

Value-at-Risk for a portfolio model with Gearing

3 votes
1 answer
159 views

Characteristic function and distribution of a random variable

3 votes
1 answer
233 views

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

2 votes
0 answers
82 views

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

2 votes
1 answer
378 views

Volatility Smile/skew in volatile markets

2 votes
1 answer
376 views

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

2 votes
1 answer
767 views

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

2 votes
1 answer
2k views

SABR in FX market: Advantages / disadvantages

1 vote
0 answers
234 views

School project about Black Scholes with stochastic volatility

1 vote
2 answers
138 views

Is a wiener proces measurable? (exercise from Bjork)

1 vote
1 answer
2k views

Call option with underlying following a Bachelier process

1 vote
1 answer
3k views

Bachelier model call: computation of delta of a call option

1 vote
1 answer
2k views

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

1 vote
0 answers
108 views

Mean-cVaR model: How can one include transaction cost

1 vote
0 answers
777 views

Is SABR being used in practice for Equity options

1 vote
1 answer
1k views

Free E-books for students on Volatility Models

1 vote
0 answers
35 views

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

1 vote
1 answer
2k views

Example of complex structured products on FX market?

0 votes
1 answer
262 views

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