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user2521987
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5 votes
4 answers
4k views

Difficulty understanding put-call parity for currency options

4 votes
2 answers
473 views

What's the explanation for the formula for the volatility of a stock / volatility of the continuously compounded return of a stock?

3 votes
1 answer
142 views

Is there an error in this problem on pricing an asset using the true probability of an up move?

3 votes
1 answer
2k views

Understanding the relationship between the Black-Scholes formula and a replicating portfolio

3 votes
1 answer
2k views

Understanding early exercise of options - The implicit put in an American call

3 votes
1 answer
275 views

Is the asset-or-nothing call option in this example valued incorrectly in the Black-Scholes framework?

2 votes
0 answers
668 views

How do we know that the instantaneous rate of return on this option, $\gamma$ is negative?

2 votes
1 answer
182 views

Calculating the annual return on an option using a replicating porfolio

2 votes
1 answer
120 views

Is there a quick way to see why this claim $C(S, t)$ on $S$ does not satisfy the Black-Scholes PDE?

2 votes
3 answers
255 views

A more mathematically rigorous explanation for why in the B-S model, the expected return on a call goes down as the stock price goes up

2 votes
1 answer
325 views

Is this a poorly written example, or could volatility in fact be negative?

2 votes
1 answer
766 views

Why are the greeks for the underlying stock 0 with the exception of delta?

2 votes
1 answer
78 views

Understanding the necessary and sufficient conditions for rational early exercise of a call option

2 votes
2 answers
565 views

A question on immunization and Macaulay duration

1 vote
1 answer
278 views

Calculating the price of a call and put using multinomial trees and risk-neutral probabilities

1 vote
2 answers
308 views

How can one find an area of research in quantitative finance appropriate to write a masters thesis on? [closed]

1 vote
1 answer
199 views

How does this statement about the price of a prepaid forward on a stock follow?

1 vote
1 answer
290 views

Probability that return exceeds a certain level before a certain time (Black-Scholes)

1 vote
2 answers
309 views

Monte Carlo Accuracy - Antithetic Variate Method

1 vote
1 answer
98 views

Is it possible to approach finding the risk premium of this derivative using Ito's Lemma?

1 vote
1 answer
127 views

Why is the statement "the volatility of a $T - t$-month prepaid forward on asset X is $\sigma$" the same as "the volatility of asset X is $\sigma$"?

1 vote
1 answer
260 views

Clarification on the Black-Derman-Toy model regarding measuring time and notation

1 vote
1 answer
1k views

Proving that the $\Delta$ of a call on a futures contract under the B-S model is $N(d_1)$

0 votes
1 answer
127 views

Simulating a stock price with Monte Carlo - Why my solution isn't equivalent to the author's

0 votes
1 answer
750 views

How to derive the formula for risk-neutral probability for a Standard Binomial Tree (Forward Tree)

0 votes
1 answer
486 views

Why doesn't the overnight profit on a delta-hedged porfolio include interest on the initial selling/buying of the option?

0 votes
1 answer
324 views

Put-Call Parity on Currency and Binomial Trees

0 votes
1 answer
54 views

Valuing a claim on $S^a$: This exercise/solution appears to have a mistake

0 votes
1 answer
247 views

Is there a better, more rigorous explanation for why this partial derivative is 0 using Ito's Lemma?

0 votes
1 answer
73 views

Clarification on this author's solution for this problem on lognormal stock distribution