Ivan's user avatar
Ivan's user avatar
Ivan's user avatar
Ivan
  • Member for 10 years, 10 months
  • Last seen more than a month ago
10 votes
Accepted

How to measure contango?

7 votes
Accepted

Possibility of delta greater than 1

6 votes

How to hedge a perpetual barrier option?

5 votes
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Does Black Scholes need to assume no arbitrage?

5 votes
Accepted

Deriving Delta Hedge error in the B-S setup (part 2)

5 votes

Black Scholes model without using Girsanov's theorem? It might happen?

4 votes

Show a process is Martingale

4 votes
Accepted

Structured product sellers and div swaps

3 votes
Accepted

Excel Add-In Volatility Interpolation I am trying to Understand

3 votes

EuroStoxx50: long index and short futures

3 votes

Flaw in the following argument with Binary Options and Skew

3 votes
Accepted

GBM in R giving negative numbers?

3 votes
Accepted

How can the BS riskless hedge break down when volatility changes, if a random walk can produce any price history?

3 votes
Accepted

Why would the market systematically underestimate the probability of unlikely events?

3 votes
Accepted

What is vega, really?

2 votes

Problem with the concept of Dollar Gamma

2 votes
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Barrier option on a basket with arbitrary stochastic process

2 votes

Estimating realised gains given growth rate and churn

2 votes
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Dynamic hedging pnl when pinning

2 votes

Option price of a future

2 votes
Accepted

PV of derivative that pays $S_T \ln\left(S_T\right)$ at maturity

2 votes
Accepted

Cause of difference in theoretical vs observed value of a (call) option under the Black-Scholes model?

2 votes

Funded equity collars and margin loans

2 votes

Nature of short VIX strategies

1 vote
Accepted

What would be the issue price of the following contract?

1 vote

Does longer time horizon necessarily imply reduced risk?

1 vote

Autocallable pricing under stochastic vs. local volatility

1 vote

Call option with rule to sell at a certain price if an event occurs

1 vote

Price of a risk arbitrage call

1 vote

How to calculate the multi-asset class portfolio vega?