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NN2's user avatar
NN2's user avatar
NN2
  • Member for 7 years, 9 months
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4 votes
Accepted

Pricing Call Option on Coupon Bond under Vasicek

4 votes
Accepted

How to compute the Present Value of this path-dependent option?

4 votes
Accepted

If returns are correlated, are Sharpe ratios correlated?

4 votes
Accepted

Estimating the knockout probability of a discretely observed autocall note

3 votes
Accepted

Affine Structure Resolution for the Vasicek model

3 votes

Finding price of the power option

2 votes
Accepted

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

2 votes

Are there really closed-form pricing formulas?

2 votes
Accepted

Heston Riccati equation

2 votes
Accepted

Deriving an Analytical Expression for Standard Deviation of Log Returns

1 vote

Does discretizing a diffusion model make it look like a jump diffusion model?

1 vote
Accepted

How can this problem be defined formally?

1 vote
Accepted

Hedge up-knock-in forward option

1 vote
Accepted

Jamshidian's formulation of Black Derman Toy

1 vote
Accepted

Distribution of discrete Geometric average and Stock Price

1 vote
Accepted

Derive the price of log contract

1 vote

If I have 2 uncorrelated currencies, why is the volatility of their product higher than either of the volatilities? (better explanation inside)

1 vote

Price a contingent claim with payoff $(S_T-K)1_{\{S_T>K\}}1_{\{L\leq X_T\leq U\}}$

1 vote

stochastic dominance displaced diffusions

0 votes

Show that a zero-coupon bond discounted by a bond with mautrity $T$ is a martingale under the $T$-Forward measure