User Kevin

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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

6 votes

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Why we introduce correlations between Wiener processes?

answered Mar 20, 2022 at 0:00

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Pricing call option using risk-neutral martingale approach with squared stock price boundary?

answered Mar 16, 2020 at 9:17

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Steven Shreve: Stochastic Calculus and Finance

answered Jan 21, 2020 at 22:01

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Compute the price of a derivative

answered Sep 26, 2019 at 12:10

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Black Scholes theta as function of time to maturity

answered Nov 17, 2019 at 0:33

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Cos Method in Finance / Practice

answered Nov 20, 2019 at 19:14

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Risk Neutral and Real World Valuations using Monte Carlo

answered Nov 26, 2019 at 16:42

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Gamma for ATM options with low spots

answered Nov 28, 2019 at 21:09

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Simulation of Geometric Brownian Motion in R

answered Dec 1, 2019 at 12:41

5 votes

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Asian Options-Change of Numeraire

answered Nov 16, 2019 at 13:09

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Stochastic process for interest rates allowing negative values

answered Jul 25, 2019 at 14:29

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Option and probability of finishing in the money?

answered Jul 29, 2019 at 5:32

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Binomial Option Pricing Model

answered Jul 23, 2019 at 14:54

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Can increase in volatility reduce the price of a deeply in-the-money European put?

answered Aug 1, 2019 at 20:41

5 votes

Why should a self-financing strategy be previsible?

answered Aug 26, 2019 at 8:23

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Origin of the $-\frac{1}{P}$ in Macaulay Duration?

answered Sep 10, 2019 at 17:35

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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)

answered Sep 20, 2019 at 5:47

5 votes

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Preprint investigating Black–Scholes formula correctness

answered Feb 15, 2022 at 12:29

5 votes

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Heston: Variance of Integrated Variance

answered Jul 26, 2021 at 12:07

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No free Lunch and weak-star topology

answered Aug 21, 2021 at 19:13

5 votes

What is delta of an option signaling?

answered Sep 16, 2021 at 17:31

5 votes

Why and when we should use the log variable?

answered May 16, 2021 at 17:05

5 votes

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How do you derive this Carr-Madan-like equation?

answered May 25, 2021 at 14:00

5 votes

Calculate Ito integral $\int_0^t W_s^2\text dW_s$ from first principles

answered Mar 14, 2021 at 11:55

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Real world probabilities from option implied risk neutral density?

answered Mar 3, 2021 at 13:31

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Does CRR Model lose completeness if we add another instrument?

answered Feb 15, 2021 at 11:42

5 votes

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Normality or Log-Normality of Regular Returns

answered Jun 26, 2020 at 0:02

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Why exposure to the profitability factor increases investment premium?

answered Jun 21, 2020 at 15:53

4 votes

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Power Options & Forwards on Stock Squared

answered Jul 26, 2020 at 20:49

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259 Answers

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?

Why we introduce correlations between Wiener processes?

Pricing call option using risk-neutral martingale approach with squared stock price boundary?

Steven Shreve: Stochastic Calculus and Finance

Compute the price of a derivative

Black Scholes theta as function of time to maturity

Cos Method in Finance / Practice

Risk Neutral and Real World Valuations using Monte Carlo

Gamma for ATM options with low spots

Simulation of Geometric Brownian Motion in R

Asian Options-Change of Numeraire

Stochastic process for interest rates allowing negative values

Option and probability of finishing in the money?

Binomial Option Pricing Model

Can increase in volatility reduce the price of a deeply in-the-money European put?

Why should a self-financing strategy be previsible?

Origin of the $-\frac{1}{P}$ in Macaulay Duration?

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)

Preprint investigating Black–Scholes formula correctness

Heston: Variance of Integrated Variance

No free Lunch and weak-star topology

What is delta of an option signaling?

Why and when we should use the log variable?

How do you derive this Carr-Madan-like equation?

Calculate Ito integral $\int_0^t W_s^2\text dW_s$ from first principles

Real world probabilities from option implied risk neutral density?

Does CRR Model lose completeness if we add another instrument?

Normality or Log-Normality of Regular Returns

Why exposure to the profitability factor increases investment premium?

Power Options & Forwards on Stock Squared