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What is wrong with this method of european option pricing?

answered Feb 11, 2020 at 8:25

3 votes

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Black-Scholes Delta value at maturity?

answered Apr 1, 2020 at 22:54

3 votes

Integration of a deterministic function w.r.t. a Brownian motion

answered Apr 11, 2020 at 16:35

3 votes

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Derivation of stock price formula John C. Hull 9th Ed p309

answered Apr 13, 2020 at 1:37

3 votes

What is the formula to calculate Implied Volatility Percentile

answered Mar 8, 2020 at 9:35

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Finding Differential and Quadratic Variation Squared Process

answered Mar 11, 2020 at 8:51

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How to determine components of Affine Term Structure for an Ohrnstein-Uhlenbeck process?

answered Dec 16, 2019 at 20:13

3 votes

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Stock price value as a continuous-time stochastic process

answered Dec 29, 2019 at 14:17

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Sharpe Ratio Formula

answered Jan 3, 2020 at 2:31

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How can I prove that the solution to the Heston SDE is a Markov process?

answered Feb 1, 2020 at 17:37

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Are the price of vanilla bull/bear spread constructed by calls and puts same?

answered Sep 30, 2019 at 7:53

3 votes

Asset return distribution

answered Oct 6, 2019 at 8:32

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Derivation of Call Delta from Black Scholes Model

answered Oct 6, 2019 at 9:01

3 votes

Stochastic Vol Mathematical derivation

answered Oct 14, 2019 at 19:12

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What was the first formal theory for asset selection/portfolio management?

answered Oct 27, 2019 at 7:16

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What does it mean by "A one period bond is a claim to a unit payoff." from Cochrane?

answered Oct 27, 2019 at 9:15

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Continuous Geometric Asian Options

answered Nov 3, 2019 at 11:11

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Black Scholes PDE

answered Dec 8, 2019 at 11:55

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Why are changes in stock market wealth considered permanent?

answered Nov 14, 2019 at 21:58

3 votes

stock specific volatility

answered Jul 16, 2019 at 9:39

3 votes

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Advantage of continuous time stochastic calculus over discrete version?

answered Jul 15, 2019 at 7:20

3 votes

Bootstrapping zero coupon rates

answered Jul 23, 2019 at 10:00

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Intuitive view of conditional expectation

answered Jul 15, 2019 at 15:31

3 votes

Portfolio Delta - long call, long put and short call

answered Sep 3, 2019 at 20:40

3 votes

Option pricing with negative short-term interest rates

answered Sep 4, 2019 at 12:08

3 votes

PV of security with interest-dependent cash flows

answered Sep 12, 2019 at 13:04

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

answered Mar 16, 2022 at 10:09

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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

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

answered Sep 27, 2021 at 14:47

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No free lunch with bounded and vanishing risk

answered Aug 21, 2021 at 14:46

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257 Answers

What is wrong with this method of european option pricing?

Black-Scholes Delta value at maturity?

Integration of a deterministic function w.r.t. a Brownian motion

Derivation of stock price formula John C. Hull 9th Ed p309

What is the formula to calculate Implied Volatility Percentile

Finding Differential and Quadratic Variation Squared Process

How to determine components of Affine Term Structure for an Ohrnstein-Uhlenbeck process?

Stock price value as a continuous-time stochastic process

Sharpe Ratio Formula

How can I prove that the solution to the Heston SDE is a Markov process?

Are the price of vanilla bull/bear spread constructed by calls and puts same?

Asset return distribution

Derivation of Call Delta from Black Scholes Model

Stochastic Vol Mathematical derivation

What was the first formal theory for asset selection/portfolio management?

What does it mean by "A one period bond is a claim to a unit payoff." from Cochrane?

Continuous Geometric Asian Options

Black Scholes PDE

Why are changes in stock market wealth considered permanent?

stock specific volatility

Advantage of continuous time stochastic calculus over discrete version?

Bootstrapping zero coupon rates

Intuitive view of conditional expectation

Portfolio Delta - long call, long put and short call

Option pricing with negative short-term interest rates

PV of security with interest-dependent cash flows

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

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

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

No free lunch with bounded and vanishing risk