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Valometrics.com
  • Member for 6 years, 1 month
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8 votes
Accepted

Creating a Covariance Matrix

4 votes

If most real options are American, why so much focus on European option pricing?

4 votes

multi asset option pricing

3 votes

Volatility Swap Variance swap

2 votes
Accepted

Vanilla Call Option Priced Using Jump Diffusion Model

2 votes
Accepted

Option on a dice game with three dices and min. value

2 votes

Proof European call price is always less than stock price. (proof verification)

2 votes

Process with negative quadratic variation

2 votes

Computing implied volatilities of ITM and OTM options

2 votes

Sampling from SDE

1 vote

Exchangeability of random vector

1 vote

Lower bound for Bermudan Option Price

1 vote

Monte carlo delta calculation for Worst/Best Of Option

1 vote

Maximal increase payoff

1 vote

Why do transaction costs increase the range of the no-arbitrage bounds for an option's price?

1 vote
Accepted

Cash or nothing option question

1 vote

What is wrong in my Heston model's code

1 vote

Volatility time weights calculation

1 vote

Numerical simulation of Bates model (Monte Carlo)

1 vote

Zero Coupon Bond prices in One Factor Hull White model

1 vote
Accepted

Quanto basket payoff

1 vote

Why would a stock price have frequent very short, very high spikes?

1 vote
Accepted

Simulation Heston Model, markovianity

1 vote

Some aspects of the market price of risk

1 vote
Accepted

Expectation of the CIR process

1 vote

Partial derivative of Ito integral without product rule

1 vote

Why is the hedging cost using forwards $\frac{F-S}{S}$ and how is this related to Carry?

1 vote

Delta heding & PnL

1 vote

How to project 1 Year ATM Implied volatility for SPX 500 1Year from now? Final goal is to calculate 1 Year Call prices on SPX 500 1 year from now?

1 vote

Black Scholes Separable Solutions