User user2521987

5 votes

4 answers

4k views

Difficulty understanding put-call parity for currency options

asked Nov 11, 2015 at 17:55

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?

black-scholes self-study

asked Jun 3, 2016 at 20:30

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?

binomial-tree self-study

asked Feb 10, 2016 at 0:17

3 votes

1 answer

2k views

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

black-scholes replication self-study put

asked Aug 3, 2016 at 15:50

3 votes

1 answer

2k views

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

american-options

asked Nov 8, 2016 at 15:30

3 votes

1 answer

275 views

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

black-scholes exotics

asked Dec 1, 2016 at 16:44

2 votes

0 answers

668 views

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

self-study lognormal elasticity

asked Nov 15, 2016 at 15:00

2 votes

1 answer

182 views

Calculating the annual return on an option using a replicating porfolio

binomial-tree replication self-study

asked Sep 6, 2016 at 22:03

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?

finance-mathematics self-study black-scholes-pde exotics

asked Feb 13, 2017 at 16:02

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

black-scholes greeks self-study elasticity

asked Mar 9, 2017 at 19:42

2 votes

1 answer

325 views

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

brownian-motion sharpe-ratio itos-lemma self-study

asked Jul 18, 2016 at 14:28

2 votes

1 answer

766 views

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

greeks self-study

asked Jun 28, 2016 at 15:55

2 votes

1 answer

78 views

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

call put-call-parity self-study

asked Nov 15, 2015 at 0:18

2 votes

2 answers

565 views

A question on immunization and Macaulay duration

portfolio-management duration

asked Sep 14, 2015 at 16:08

1 vote

1 answer

278 views

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

binomial-tree self-study

asked Jan 22, 2016 at 2:07

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]

research

asked Sep 9, 2014 at 16:11

1 vote

1 answer

199 views

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

futures forward self-study

asked Jun 27, 2016 at 15:53

1 vote

1 answer

290 views

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

brownian-motion lognormal stopping-time

asked Jul 11, 2016 at 20:59

1 vote

2 answers

309 views

Monte Carlo Accuracy - Antithetic Variate Method

monte-carlo self-study

asked Jul 13, 2016 at 13:30

1 vote

1 answer

98 views

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

derivatives itos-lemma self-study risk-premium

asked Mar 6, 2017 at 22:12

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 $\sigma$"?

volatility forward self-study

asked Jan 31, 2017 at 12:58

1 vote

1 answer

260 views

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

interest-rates binomial-tree

asked Feb 7, 2017 at 14:03

1 vote

1 answer

1k views

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

black-scholes greeks self-study proof

asked Nov 21, 2016 at 16:58

0 votes

1 answer

127 views

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

monte-carlo self-study lognormal

asked Dec 6, 2016 at 16:36

0 votes

1 answer

750 views

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

binomial-tree self-study

asked Sep 16, 2016 at 1:13

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?

market-making delta-hedging self-study

asked Nov 18, 2016 at 16:50

0 votes

1 answer

324 views

Put-Call Parity on Currency and Binomial Trees

binomial-tree currency put-call-parity

asked Sep 18, 2017 at 21:05

0 votes

1 answer

54 views

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

self-study exotics

asked Dec 30, 2016 at 16:51

0 votes

1 answer

247 views

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

itos-lemma

asked Jul 14, 2016 at 17:26

0 votes

1 answer

73 views

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

lognormal self-study

asked Jul 29, 2016 at 14:15

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35 Questions

Difficulty understanding put-call parity for currency options

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

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

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

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

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

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

Calculating the annual return on an option using a replicating porfolio

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

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

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

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

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

A question on immunization and Macaulay duration

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

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

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

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

Monte Carlo Accuracy - Antithetic Variate Method

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

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 $\sigma$"?

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

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

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

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

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

Put-Call Parity on Currency and Binomial Trees

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

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

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