User ilovevolatility

4

9

votes

2

answers

431

views

Anticipating stochastic integral $\int_0^T W_T dW_t$

stochastic-calculus malliavin-calculus

Oct 27 at 8:32 Jesper Tidblom 401

7

votes

1

answer

216

views

Option pricing with Brownian Bridge

stochastic-processes stochastic-calculus brownian-motion

Dec 6 '19 at 16:01 Canardini 753

1

5

votes

2

answers

173

views

$\frac{\partial}{\partial a} E [\sqrt{a+X} ]$, $X > 0$ a.s., $a \geq 0$

probability

Aug 16 at 6:39 ir7 2,480

5

votes

2

answers

368

views

Conditions for implied volatility to attain a minimum (or maximum) value

implied-volatility

Aug 8 at 5:42 StackG 2,539

1

5

votes

1

answer

134

views

Hedging a FVA in practice

implied-volatility hedging volatility-smile

Aug 5 at 2:40 ir7 2,480

5

4

votes

1

answer

120

views

Most accurate Fourier transform method for extreme OTM options

heston fourier-transform

Aug 31 at 11:50 Kevin 9,671

1

4

votes

1

answer

159

views

What is vega, really?

stochastic-volatility vega

Apr 5 at 16:18 Ivan 1,271

1

4

votes

1

answer

132

views

stochastic dominance displaced diffusions

stochastic-processes stochastic-calculus

Nov 8 '19 at 14:12 ilovevolatility 2,656

4

votes

1

answer

332

views

Dependence of implied volatility on spot-vol correlation

black-scholes stochastic-calculus implied-volatility correlation stochastic-volatility

Jun 8 '19 at 15:00 ilovevolatility 2,656

4

votes

2

answers

315

views

Replicating the square of an option $C^2 (S,K,t,T)$

options hedging replication

Mar 19 '19 at 13:34 Antoine Conze 4,613

3

votes

2

answers

196

views

Margrabe option: change of numeraire versus conditioning and numerical integration

black-scholes spread-options margrabes-formula

Jul 14 at 22:49 Dimitri Vulis 5,485

3

votes

1

answer

137

views

Process with negative quadratic variation

stochastic-processes stochastic-calculus brownian-motion

Jan 23 '20 at 20:35 noob2 7,526

3

votes

0

answers

99

views

Robust bounds or approximations on implied volatility skew when $\lvert \rho \rvert \rightarrow 1$

implied-volatility correlation stochastic-volatility skew

Jan 4 '20 at 15:11 ilovevolatility 2,656

2

3

votes

1

answer

185

views

Short time to maturity behaviour of implied volatility

implied-volatility stochastic-volatility

Mar 29 '19 at 21:42 AXH 327

2

votes

0

answers

38

views

Determination of critical stock price in compound option pricing

options black-scholes exotics

Sep 21 at 16:41 ilovevolatility 2,656

2

votes

0

answers

73

views

Option on $ \left( \int_0^T dW_t \right)^2$

option-pricing stochastic-calculus

May 2 at 8:14 ilovevolatility 2,656

2

votes

0

answers

117

views

Kirk's formula when strike is negative

spread-options

Nov 6 '19 at 13:41 ilovevolatility 2,656

1

vote

0

answers

53

views

Implied vol expansion for $\lambda$-SABR

implied-volatility stochastic-volatility sabr

Apr 29 at 6:48 ilovevolatility 2,656

1

vote

0

answers

42

views

Replicating a payoff $\frac{1}{2} \sigma_t^2 dt$

replication variance-swap

Mar 19 at 20:19 ilovevolatility 2,656

1

vote

0

answers

25

views

Order of expectation versus expectation of order (error terms in Taylor expansion)

stochastic-calculus expected-value

Mar 13 at 7:11 ilovevolatility 2,656

1

vote

0

answers

108

views

A relatively useless but fun question for quants and physicists

option-pricing arbitrage limits-to-arbitrage

Oct 8 '19 at 12:51 ilovevolatility 2,656

1

vote

0

answers

49

views

Realized vol/var log-normal approximation

volatility lognormal

Oct 6 '19 at 15:35 ilovevolatility 2,656

1

vote

0

answers

158

views

Variance swap = delta hedged strip of options

delta-hedging variance-swap

Aug 26 '19 at 10:23 ilovevolatility 2,656

1

vote

0

answers

50

views

Who came up with 3/2 SV model

stochastic-volatility reference-request history

Jul 17 '19 at 7:09 ilovevolatility 2,656

2

1

vote

0

answers

548

views

Implied volatility as break-even delta hedge volatility

black-scholes implied-volatility stochastic-volatility delta-hedging

May 12 '19 at 12:59 ilovevolatility 2,656

1

vote

1

answer

337

views

Options on realized volatility / variance

volatility variance heston characteristic-function

Nov 12 '18 at 17:19 Ezy 1,997

1

vote

0

answers

41

views

Remaining variance and historical variance in Black-Scholes with term structure

black-scholes implied-volatility

Sep 25 '18 at 1:55 ilovevolatility 2,656

0

votes

1

answer

145

views

When $E[f(\alpha,X)] = f(\alpha, E[X])$

stochastic-processes stochastic-calculus

Apr 16 '19 at 15:55 Charles Fox 474

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28 Questions

Anticipating stochastic integral $\int_0^T W_T dW_t$

Option pricing with Brownian Bridge

$\frac{\partial}{\partial a} E [\sqrt{a+X} ]$, $X > 0$ a.s., $a \geq 0$

Conditions for implied volatility to attain a minimum (or maximum) value

Hedging a FVA in practice

Most accurate Fourier transform method for extreme OTM options

What is vega, really?

stochastic dominance displaced diffusions

Dependence of implied volatility on spot-vol correlation

Replicating the square of an option $C^2 (S,K,t,T)$

Margrabe option: change of numeraire versus conditioning and numerical integration

Process with negative quadratic variation

Robust bounds or approximations on implied volatility skew when $\lvert \rho \rvert \rightarrow 1$

Short time to maturity behaviour of implied volatility

Determination of critical stock price in compound option pricing

Option on $ \left( \int_0^T dW_t \right)^2$

Kirk's formula when strike is negative

Implied vol expansion for $\lambda$-SABR

Replicating a payoff $\frac{1}{2} \sigma_t^2 dt$

Order of expectation versus expectation of order (error terms in Taylor expansion)

A relatively useless but fun question for quants and physicists

Realized vol/var log-normal approximation

Variance swap = delta hedged strip of options

Who came up with 3/2 SV model

Implied volatility as break-even delta hedge volatility

Options on realized volatility / variance

Remaining variance and historical variance in Black-Scholes with term structure

When $E[f(\alpha,X)] = f(\alpha, E[X])$