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jChoi
  • Member for 5 years, 6 months
  • Last seen more than a week ago
7 votes

A simple formula for calculating implied volatility?

5 votes

Basket option pricing: step by step tutorial for beginners

5 votes

Is there a good closed-form approximation for Black-Scholes implied volatility?

4 votes
Accepted

Put Call derivation using two approaches [ Some confusion of getting different results ]

4 votes

Bachelier model call option pricing formula

4 votes

Downward sloping smile in normal model

4 votes

FX forward curve building

4 votes

USD-Federal Funds for OIS swaps vs USD-Federal Funds for Basis swaps

4 votes

SABR Normal Volatility when F = K

3 votes

How to perform Monte-Carlo simulations to price Asian options?

3 votes
Accepted

Cholesky decomposition reduces volatility of simulated Wiener Process / Brownian Motions

2 votes

Normal vs Log normal implied volatility

2 votes

How to derive portfolio weights from risk budget

2 votes

Stocks' returns distribution

2 votes
Accepted

Problems with exact Heston simulations

2 votes
Accepted

Turnbull & Wakeman Asian - not Edgeworth?

2 votes

How to price a futures spread option?

2 votes

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

2 votes

clarification to use collocation methods to get arbitrage free sabr

2 votes

Foresight bias in least square monte carlo

1 vote

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

1 vote

Normal Inverse Gaussian distribution - any consensus on an accurate quantile function?

1 vote

How do we know if the volatility which is quoted in market is Normal (Bachelier model) or log normal (Black 76)?

1 vote

Normal Black-Scholes model for swaptions isn't working properly

1 vote

Simulation of Heston model, best reference?

1 vote

Numerical simulation of Heston model

1 vote

Derive vega for Black-Scholes call from this formula?

1 vote

Prove that the butterfly condition is always greater than zero

1 vote

Why can't the curve find the least squares parameters when I used it in SABR model? (SABR Calibration)

1 vote

Implementing a Fast Fourier Transform for Option Pricing