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Arshdeep
  • Member for 4 years, 4 months
  • Last seen more than a week ago
  • India
7 votes
2 answers
2k views

Does Black Scholes need to assume no arbitrage?

5 votes
1 answer
263 views

Why do we not use copula for forward starting options?

3 votes
1 answer
178 views

PnL due to model recalibration and its relationship with hedging error

3 votes
0 answers
203 views

Checking arbitrage for the SABR model - analytical vs numerical approach

3 votes
0 answers
92 views

Pricing/Hedging a yield curve spread option (YCS)

3 votes
0 answers
71 views

Model independent (or reasonable assumption) bounds on OTM put price given an ATM call price

2 votes
2 answers
204 views

How does a pricing model 'understand' the cost of hedging?

2 votes
0 answers
81 views

Finding a PDE for an option $V(t,r(t),S(t))$

2 votes
1 answer
246 views

Bermudan option exercise probability when rates rise

2 votes
2 answers
256 views

What to do if certain parameters are not market observable?

2 votes
0 answers
71 views

Local v/s global calibration for a Bermudan Option (calibrate co-terminals vs entire matrix)

1 vote
0 answers
167 views

Vega hedging swaption with caplets - precisely, what will go wrong?

1 vote
1 answer
246 views

Question about using Ito's lemma in Gamma PnL

1 vote
1 answer
100 views

Why does an autocall on a linear payoff have vega?

1 vote
0 answers
39 views

When is the effect of skew most potent for an early exercise option?

1 vote
0 answers
54 views

Question on model recalibration upon a spot shift scenario analysis

1 vote
0 answers
74 views

Hedge robustness of the one factor Hull White model

1 vote
1 answer
343 views

Instantaneous correlation in the 2 factor Hull White model

0 votes
0 answers
32 views

Deterministic optimal call time

0 votes
1 answer
79 views

Convexity of a rates Bermudan w.r.t strike

0 votes
0 answers
42 views

Are there any equity derivative instruments offering exposure to borrow rate optionality?

0 votes
1 answer
240 views

Show that a forward starting option has 0 delta, and no sensitivity to volatility until the strike is determined

0 votes
1 answer
192 views

Delta hedging error in B-S (hedging with implied vol) question

0 votes
0 answers
35 views

Portfolio optimization and decorrelating short term option payoffs

0 votes
0 answers
50 views

Does tail risk disappear in the long horizon in any rolling over strategy with shorter frequency?