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user107224
  • Member for 3 years, 4 months
  • Last seen more than 2 years ago
9 votes
2 answers
797 views

Change of numéraire for two risky assets without bank account (Margrabe’s formula?)

7 votes
2 answers
299 views

Likelihood ratio and pathwise sensitivity method for coupled SDEs

5 votes
1 answer
278 views

Hedging strategy for payoff $\int_0^T\log S_u\mathrm{d}u$

4 votes
0 answers
328 views

FX American call option optimal exercise and holding region

4 votes
1 answer
131 views

Maximum norm stability for implicit Black-Scholes equation

4 votes
0 answers
126 views

Pricing of strange Asian lookback option with European-style payoff $\max\{ \max_{u\in[0,T]}S_u-\frac1T\sqrt{\int_0^TS_t^2\mathrm{d}t},0\}$

3 votes
1 answer
408 views

Conditional probability of Brownian motion (with drift and scaling) hitting barrier

3 votes
1 answer
223 views

Digital call under Ornstein-Uhlenbeck dynamics

2 votes
2 answers
360 views

Proving $\mathbb{P}(S_t<0|S_0=s_0)=0$ for Geometric BM

2 votes
1 answer
334 views

Pricing of Asian-like option

2 votes
2 answers
1k views

Quasi Monte Carlo and Brownian bridge (how to combine them)

1 vote
0 answers
163 views

Implicit Scheme for Cox-Ingersoll-Ross Model PDE

1 vote
0 answers
71 views

Option where option writer determines type of option to give to holder

1 vote
0 answers
210 views

Risk neutral probabilities in binomial option pricing with discrete dividends — whose argument is correct?

0 votes
1 answer
206 views

No-arbitrage arguments: how do additional fees affect futures on an index?

0 votes
2 answers
168 views

How does volatility affect an option payoff diagram? [closed]