Ryan J. Shrott's user avatar
Ryan J. Shrott's user avatar
Ryan J. Shrott's user avatar
Ryan J. Shrott
  • Member for 8 years, 6 months
  • Last seen more than 2 years ago
  • Toronto
8 votes
3 answers
5k views

Simulate correlated Geometric Brownian Motion in the R programming language

8 votes
2 answers
6k views

Local vol, stochastic vol, implied vol

6 votes
1 answer
1k views

What is the variance risk premium?

3 votes
1 answer
170 views

Pricing homogeneous Basket Default Swap

3 votes
1 answer
339 views

Butterfly spread model price

2 votes
1 answer
1k views

Why can a swap option be regarded as a type of Bond option?

2 votes
1 answer
2k views

Put-Call Parity Arbitrage Exploitation for Binary-Asset-or-Nothing Options

1 vote
2 answers
174 views

Portfolio Strategies Project

1 vote
0 answers
64 views

Fund Separation Theorem for Performance Seeking Portfolio

1 vote
2 answers
602 views

How to simulate 3 correlated stock processes following a GBM?

1 vote
0 answers
247 views

Expected life (Fugit) of American Option

1 vote
1 answer
400 views

Discrete Dividend GBM process

1 vote
1 answer
122 views

Copula analytic formula for $max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}}$

-1 votes
2 answers
464 views

Positive PnL with long volatility strategy