User KT8

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Dupire's Formula by a Replicating Portfolio

answered Nov 11, 2021 at 7:44

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Best practice in QuantLib Python to include borrow rate

answered Jun 19 at 7:33

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If CAPM holds, should alpha be zero for all assets?

answered Dec 9, 2021 at 17:29

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How is variance derived in BS?

answered Feb 14 at 22:53

1 vote

Conditions for market completeness

answered May 31 at 7:47

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Empirically validating GBM assumptions

answered Mar 31, 2022 at 7:11

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Black-Scholes PDE transformation

answered Apr 4, 2022 at 21:21

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BKM risk neutral moments in python

answered Apr 12, 2022 at 17:54

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Determine forward rates for EUR/USD

answered Apr 15, 2022 at 14:39

1 vote

Implied volatilities for different options that track the same stock

answered Feb 1, 2022 at 12:53

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Estimate yield of coupon bond given yield of zero coupon bond

answered Nov 16, 2021 at 12:39

1 vote

Find the value of put option using a two-period binomial model

answered Nov 11, 2021 at 14:52

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Caplet delta hedging

answered Nov 12, 2021 at 8:34

1 vote

Is there an arbitrage opportunity if the forward price is different from the true expected value of the asset?

answered Nov 9, 2021 at 20:58

0 votes

Importance sampling for Monte Carlo with local volatility in practice

answered Nov 16, 2021 at 11:52

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American Option Valuation - Induction algorithm

answered Nov 17, 2021 at 9:42

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Monte Carlo: How to interpolate Dupire's Local Volatility

answered Nov 17, 2021 at 10:52

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Why do I need fancy methods to calculate half-life of mean reversion?

answered Mar 29, 2022 at 20:35

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Implication of unique risk neutral measure

answered Apr 16, 2022 at 12:46

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Volatility surface

answered Feb 6 at 19:39

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Gamma smoothing of vanilla options

answered May 31 at 14:30

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Necessary conditions to ensure that stochastic integral is a normal variable

answered May 31 at 18:38

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Questions about the replicating portfolio in the binomial model

answered Mar 1 at 13:45

Stack Exchange Network

23 Answers

Dupire's Formula by a Replicating Portfolio

Best practice in QuantLib Python to include borrow rate

If CAPM holds, should alpha be zero for all assets?

How is variance derived in BS?

Conditions for market completeness

Empirically validating GBM assumptions

Black-Scholes PDE transformation

BKM risk neutral moments in python

Determine forward rates for EUR/USD

Implied volatilities for different options that track the same stock

Estimate yield of coupon bond given yield of zero coupon bond

Find the value of put option using a two-period binomial model

Caplet delta hedging

Is there an arbitrage opportunity if the forward price is different from the true expected value of the asset?

Importance sampling for Monte Carlo with local volatility in practice

American Option Valuation - Induction algorithm

Monte Carlo: How to interpolate Dupire's Local Volatility

Why do I need fancy methods to calculate half-life of mean reversion?

Implication of unique risk neutral measure

Volatility surface

Gamma smoothing of vanilla options

Necessary conditions to ensure that stochastic integral is a normal variable

Questions about the replicating portfolio in the binomial model