User Kevin

6 votes

Probability of success given expected return and volatility

answered 16 hours ago

1 vote

The relationship between no-arbitrage and the law of one price

answered Nov 29 at 7:38

3 votes

Accepted

Replication of the payoff of a chooser option

answered Nov 16 at 12:47

1 vote

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Pricing various classes of derivatives and replicating them

answered Mar 11 at 0:51

4 votes

What is the equation $\mathbb{E}[mR]=0$?

answered Jan 4 at 13:34

3 votes

Existence of an upper bound for risk-factor betas/coefficients

answered Dec 21, 2022 at 23:50

1 vote

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A concrete example of a stochastic discount factor

answered Dec 21, 2022 at 9:27

2 votes

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Closed-form solution for the PV of these cash flows

answered Dec 18, 2022 at 15:39

6 votes

Accepted

Since $S = e^{(\mu-\frac{\sigma^2}{2})t+\sigma W_t}$, why treat it as a constant when calculating the greek Theta (dC/dt) for a European call option?

answered Nov 4, 2022 at 9:45

2 votes

Accepted

Does the risk neutral pdf that is derived using Litzenberger-Breeden Method correspond to gamma and it's integral correspond to delta?

answered Oct 24, 2022 at 18:29

7 votes

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Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$

answered Oct 9, 2022 at 10:08

4 votes

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Cross Sectional vs. Time-Series Risk Premia Estimate

answered Aug 1, 2022 at 17:52

3 votes

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Derivations of the pricing PDE for the Heston-Hull-White or Heston-CIR models

answered Jul 20, 2022 at 12:06

17 votes

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Most complete list of investment mistakes in stock markets

answered May 16, 2022 at 11:06

4 votes

What is Phi in Cox-Ross-Rubinstein Binomial Model?

answered Mar 22, 2022 at 17:21

6 votes

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Why we introduce correlations between Wiener processes?

answered Mar 20, 2022 at 0:00

3 votes

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How to correctly use Fama-French factors (from investment portfolio perspective)?

answered Mar 16, 2022 at 10:09

12 votes

Do markets really follow a random walk or is this idea outdated?

answered Mar 13, 2022 at 10:18

5 votes

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Preprint investigating Black–Scholes formula correctness

answered Feb 15, 2022 at 12:29

2 votes

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How to find state prices?

answered Jan 27, 2022 at 9:23

4 votes

Stocks' returns distribution

answered Dec 21, 2021 at 21:56

2 votes

Testing a new factor for alpha

answered Oct 13, 2021 at 17:57

3 votes

Accepted

Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?

answered Sep 27, 2021 at 14:47

5 votes

What is delta of an option signaling?

answered Sep 16, 2021 at 17:31

2 votes

Early exercise American Options with Dividend

answered Aug 28, 2021 at 19:20

5 votes

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No free Lunch and weak-star topology

answered Aug 21, 2021 at 19:13

3 votes

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No free lunch with bounded and vanishing risk

answered Aug 21, 2021 at 14:46

14 votes

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Path-dependent options valuation

answered Aug 18, 2021 at 21:41

5 votes

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Heston: Variance of Integrated Variance

answered Jul 26, 2021 at 12:07

4 votes

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Fourier transform of a European put

answered Jul 18, 2021 at 15:28

Stack Exchange Network

257 Answers

Probability of success given expected return and volatility

The relationship between no-arbitrage and the law of one price

Replication of the payoff of a chooser option

Pricing various classes of derivatives and replicating them

What is the equation $\mathbb{E}[mR]=0$?

Existence of an upper bound for risk-factor betas/coefficients

A concrete example of a stochastic discount factor

Closed-form solution for the PV of these cash flows

Since $S = e^{(\mu-\frac{\sigma^2}{2})t+\sigma W_t}$, why treat it as a constant when calculating the greek Theta (dC/dt) for a European call option?

Does the risk neutral pdf that is derived using Litzenberger-Breeden Method correspond to gamma and it's integral correspond to delta?

Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$

Cross Sectional vs. Time-Series Risk Premia Estimate

Derivations of the pricing PDE for the Heston-Hull-White or Heston-CIR models

Most complete list of investment mistakes in stock markets

What is Phi in Cox-Ross-Rubinstein Binomial Model?

Why we introduce correlations between Wiener processes?

How to correctly use Fama-French factors (from investment portfolio perspective)?

Do markets really follow a random walk or is this idea outdated?

Preprint investigating Black–Scholes formula correctness

How to find state prices?

Stocks' returns distribution

Testing a new factor for alpha

Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?

What is delta of an option signaling?

Early exercise American Options with Dividend

No free Lunch and weak-star topology

No free lunch with bounded and vanishing risk

Path-dependent options valuation

Heston: Variance of Integrated Variance

Fourier transform of a European put