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Frido's user avatar
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Frido
  • Member for 5 months
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7
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About

Physics and mathematics enthusiast.

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Score Newest
answer
8
Three mathematical mistakes in Black-Scholes-Merton option pricing?
May 29
answer
6
Is variance swap long volatility of volatility?
Mar 1
answer
5
Value of a European Call option with Infinite maturity
Jan 30
answer
5
How to structure a trade using vanilla equity options to get vega exposure to forward volatility?
Apr 26
question
5
Most relevant papers on IR / discount rate(s) modelling in the last 5 years
Apr 4
answer
5
Assuming perfect liquidity
May 20
answer
4
The derivation of vega/gamma relationship
May 27
question
4
BS price as the first term of option price expansion
May 18
answer
4
Why does the volatility smile flatten as maturities increase?
Jan 21
answer
3
Vega hedge of a barrier option
Apr 27
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6
affine function of random variable

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