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ilovevolatility

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Answers (76)

Votes Activity Newest

15	Is the VIX more similar to a volatility swap or a variance swap?
14	Is there anywhere I can read the paper, “The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves”
10	Expectation of Gamma times S$^2$ in Black-Scholes model
7	Black and Scholes pricing
5	bank issuing structured products

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Reputation (2,656)

+10	Anticipating stochastic integral $\int_0^T W_T dW_t$
+16	Asymptotics of Call Option as $S\to0$
+10	Implied volatility model-free
+10	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?

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Questions (28)

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9	Anticipating stochastic integral $\int_0^T W_T dW_t$
7	Option pricing with Brownian Bridge
5	$\frac{\partial}{\partial a} E [\sqrt{a+X} ]$, $X > 0$ a.s., $a \geq 0$
5	Conditions for implied volatility to attain a minimum (or maximum) value
5	Hedging a FVA in practice

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Tags (86)

60 volatility × 25	24 option-pricing × 19
46 options × 28	18 vix × 3
43 implied-volatility × 25	17 variance × 5
35 black-scholes × 19	16 risk-neutral-measure × 9
26 gamma × 3	14 papers

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9	Anticipating stochastic integral $\int_0^T W_T dW_t$
6	Convexity of an American put option

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Votes cast (133)

all time			by type			month
120	up		49	question		2
13	down		84	answer		2

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