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MainCom
  • Member for 3 years, 6 months
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3 votes
Accepted

VIX ATM Options Delta

1 vote

Prove the Euro call option value has positive relationship with the risk-free rate under discrete time model (Binomial tree model)

1 vote

Black-Scholes: Volatility Smile "sharpens" with time to expiry

1 vote
Accepted

Mini Nikkei Futures Contract - Tick and Point Value

1 vote

Backtesting Period Effect

1 vote

Asian option IV less than vanilla option IV

1 vote
Accepted

How can I show convexity of this risk function?

0 votes
Accepted

Why are options on Leveraged ETFs cheaper than ETFs — on the same underlying index and expiration?

0 votes

You are long a hedged ATM SPX Call and the market moves down. Do you gain or lose in volatility terms?

0 votes

Black Scholes implied vol of SVJ model

0 votes

Backtesting Option Strategies with IV Data Only