User Idonknow

16 votes

2 answers

5k views

Why is Brownian motion useful in finance?

asked Dec 8, 2019 at 13:15

7 votes

1 answer

133 views

Show that $\frac{\partial c(t))}{\partial \sigma^2 }>0 \text{ if and only if } S(t)<Xe^{-r(r+\frac{1}{2} \sigma^2 )(T-t)}.$

asked Sep 21, 2019 at 8:16

4 votes

2 answers

856 views

How to adjust delta hedging if stock price decreases?

asked Sep 21, 2019 at 3:42

3 votes

2 answers

1k views

Assumptions in using risk-neutral pricing formula

asked Dec 4, 2019 at 3:08

3 votes

3 answers

3k views

Explain that gamma is positive for standard call and put options without using heavy mathematics

asked Sep 21, 2019 at 2:20

3 votes

1 answer

440 views

Mark Joshi uses forward price to price an option that pays $S_t^2-K$ if $S_t^2>K $ and zero otherwise? Why can we do that?

asked Dec 16, 2019 at 10:30

2 votes

1 answer

640 views

Show that $Ae^{rt}$ is a solution of the Black-Scholes equation. Why should this be so?

asked Dec 16, 2019 at 3:21

2 votes

1 answer

271 views

Arbitrage opportunity between two call options with strike price \$40, \$30 and cost \$4, \$3 respectively?

asked Dec 8, 2019 at 3:54

2 votes

1 answer

402 views

Expectation and variance of $\int_0^t (W_s)^n ds$ for any positive integer $n$?

asked Dec 8, 2019 at 4:29

2 votes

3 answers

658 views

How can I use the Radon-Nikodym theorem to show that forward measure is indeed measure?

asked Apr 6, 2020 at 12:38

2 votes

1 answer

1k views

Is there any way to check my delta hedging is implemented correctly?

asked Jun 6, 2020 at 14:18

2 votes

2 answers

228 views

How are option values in real life calculated without volatility?

asked Jun 12, 2020 at 13:54

2 votes

1 answer

5k views

If the volatility is zero (i.e. σ=0), what is the call worth? After valuing the call, how to hedge the call (assuming you sold it)

asked Sep 20, 2019 at 3:09

2 votes

2 answers

2k views

Why do we need event-driven backtesters?

asked Jul 24, 2019 at 15:43

2 votes

2 answers

90 views

How does duplicate data affect backtesting?

asked Aug 18, 2019 at 16:04

2 votes

1 answer

4k views

How does longer time to maturity affect standard European call and put option values?

asked Nov 28, 2019 at 13:15

2 votes

2 answers

3k views

How to derive Black-Scholes equation with dividend?

asked Sep 23, 2019 at 3:13

2 votes

1 answer

170 views

Are the Ito's Lemma given in Mark Joshi's Concept and Practice in Mathematical Finance same as what I learn?

asked Oct 3, 2019 at 1:01

2 votes

1 answer

108 views

Can a portfolio value consisting of longing a delta shares of stocks and shorting a call option greater than strike price?

asked Jun 2, 2020 at 15:30

1 vote

3 answers

3k views

How to calculate standard deviation of continuously compounded four-year stock returns?

asked Oct 14, 2019 at 7:08

1 vote

1 answer

342 views

Hedging a long position-one period from Steven Shreve Stochastic Calculus for Finance

asked Oct 22, 2019 at 7:29

1 vote

1 answer

205 views

Why Joshi defined option value to be discounted payoff using risk neutral expectation?

asked Sep 30, 2019 at 3:10

1 vote

1 answer

48 views

Do not understand 'The gain (loss) on the stock position would then tend to offset the loss (gain) on the option position' [closed]

asked Sep 20, 2019 at 5:09

1 vote

1 answer

942 views

Under what conditions will both European and American put options worth the same?

asked Jun 13, 2020 at 1:46

1 vote

1 answer

501 views

How to find characteristic function in Fourier Cosine method (COS method) by Fang and Oosterlee

asked Jun 17, 2020 at 5:07

1 vote

1 answer

178 views

Prove that $d\hat{W}_t = dW_t - \frac{1}{N_t} \cdot dN_t\cdot dW_t$ gives a Brownian motion under forward measure

asked Apr 6, 2020 at 13:09

1 vote

1 answer

160 views

Do all stochastic volatility models capture volatility smile?

asked May 7, 2020 at 1:11

1 vote

1 answer

256 views

Why does Implied volatility fall when the options market shows an upward trend?

asked May 7, 2020 at 2:20

1 vote

1 answer

626 views

Delta of an option which is approaching expiration when stock price decreases

asked Dec 6, 2019 at 14:11

1 vote

0 answers

96 views

What is a call-spread and its formula?

asked Mar 21, 2020 at 16:04

Stack Exchange Network

39 Questions

Why is Brownian motion useful in finance?

Show that $\frac{\partial c(t))}{\partial \sigma^2 }>0 \text{ if and only if } S(t)<Xe^{-r(r+\frac{1}{2} \sigma^2 )(T-t)}.$

How to adjust delta hedging if stock price decreases?

Assumptions in using risk-neutral pricing formula

Explain that gamma is positive for standard call and put options without using heavy mathematics

Mark Joshi uses forward price to price an option that pays $S_t^2-K$ if $S_t^2>K $ and zero otherwise? Why can we do that?

Show that $Ae^{rt}$ is a solution of the Black-Scholes equation. Why should this be so?

Arbitrage opportunity between two call options with strike price \$40, \$30 and cost \$4, \$3 respectively?

Expectation and variance of $\int_0^t (W_s)^n ds$ for any positive integer $n$?

How can I use the Radon-Nikodym theorem to show that forward measure is indeed measure?

Is there any way to check my delta hedging is implemented correctly?

How are option values in real life calculated without volatility?

If the volatility is zero (i.e. σ=0), what is the call worth? After valuing the call, how to hedge the call (assuming you sold it)

Why do we need event-driven backtesters?

How does duplicate data affect backtesting?

How does longer time to maturity affect standard European call and put option values?

How to derive Black-Scholes equation with dividend?

Are the Ito's Lemma given in Mark Joshi's Concept and Practice in Mathematical Finance same as what I learn?

Can a portfolio value consisting of longing a delta shares of stocks and shorting a call option greater than strike price?

How to calculate standard deviation of continuously compounded four-year stock returns?

Hedging a long position-one period from Steven Shreve Stochastic Calculus for Finance

Why Joshi defined option value to be discounted payoff using risk neutral expectation?

Do not understand 'The gain (loss) on the stock position would then tend to offset the loss (gain) on the option position' [closed]

Under what conditions will both European and American put options worth the same?

How to find characteristic function in Fourier Cosine method (COS method) by Fang and Oosterlee

Prove that $d\hat{W}_t = dW_t - \frac{1}{N_t} \cdot dN_t\cdot dW_t$ gives a Brownian motion under forward measure

Do all stochastic volatility models capture volatility smile?

Why does Implied volatility fall when the options market shows an upward trend?

Delta of an option which is approaching expiration when stock price decreases

What is a call-spread and its formula?