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Arshdeep
  • Member for 4 years, 4 months
  • Last seen more than a week ago
  • India
8 votes

Options On Earthquakes

6 votes
Accepted

Is first order stochastic dominance conserved under change of measure?

6 votes

Explaining the Risk Neutral Measure

5 votes

Implied Vol Smile: from Calls, Puts or Both?

5 votes
Accepted

Vasicek model - Bond price and volatility

4 votes

What options are typically priced in practice by Monte-Carlo simulation?

4 votes

Can we use risk-neutral pricing to price a stock or a bond?

4 votes

Model Validation Criteria

4 votes

Intuition for Stock Price Numeraire Drift

4 votes
Accepted

Ratio of the same process at different times

3 votes

Which measure is used to price a swap?

3 votes

Why is portfolio optimization a convex problem if variance is concave?

3 votes
Accepted

Show that the price of a LIBOR rate paid in advance is a linear combination of caplets

3 votes

Why Black Scholes model needs to assume S_t follows GBM if physical probabilities do not matter?

3 votes
Accepted

Question on Ito's lemma involving $\mathrm{d}W(t)$

3 votes
Accepted

Confusion about optimal choices with exotic options

2 votes

Pricing multidimensional equity

2 votes
Accepted

Implication of forward-rate dynamics when the short-rate follows a normal process

2 votes

Price an option whose strike price is always lower than the future price of the security

2 votes
Accepted

When are parameters calibrated using one option type applicable to price other option types on the same underlying?

2 votes
Accepted

Why does the price of an option increase with increasing Rho?

2 votes

Hedging with different volatility (Ahmad and Wilmott paper)

2 votes

Ito Integral of functions of Brownian motion

2 votes

How can Ito's Lemma be used to show that a delta-neutral portfolio is instantaneously risk-free?

1 vote

Normal vs. Lognormal Greeks for Negative Rates Options

1 vote

Drift Term in Black-Scholes Model Martingale

1 vote

Strike Price Determination

1 vote

Poisson process under equivalent martingale measure

1 vote

Why Markov Functional Models (Hunt 2000) are not yet so popular?

1 vote

Binary Option Valuation With Skew