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Idonknow
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16 votes
2 answers
5k views

Why is Brownian motion useful in finance?

7 votes
1 answer
135 views

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

4 votes
2 answers
887 views

How to adjust delta hedging if stock price decreases?

3 votes
2 answers
1k views

Assumptions in using risk-neutral pricing formula

3 votes
3 answers
3k views

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

3 votes
1 answer
454 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?

2 votes
1 answer
667 views

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

2 votes
1 answer
292 views

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

2 votes
1 answer
434 views

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

2 votes
3 answers
704 views

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

2 votes
1 answer
1k views

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

2 votes
2 answers
245 views

How are option values in real life calculated without volatility?

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)

2 votes
2 answers
2k views

Why do we need event-driven backtesters?

2 votes
2 answers
90 views

How does duplicate data affect backtesting?

2 votes
1 answer
4k views

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

2 votes
2 answers
4k views

How to derive Black-Scholes equation with dividend?

2 votes
1 answer
171 views

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

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?

1 vote
3 answers
3k views

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

1 vote
1 answer
366 views

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

1 vote
1 answer
215 views

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

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]

1 vote
1 answer
1k views

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

1 vote
1 answer
528 views

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

1 vote
1 answer
184 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

1 vote
1 answer
166 views

Do all stochastic volatility models capture volatility smile?

1 vote
1 answer
273 views

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

1 vote
1 answer
666 views

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

1 vote
0 answers
99 views

What is a call-spread and its formula?