User Frido

10 votes

Three mathematical mistakes in Black-Scholes-Merton option pricing?

answered May 29 at 9:20

6 votes

Accepted

Is variance swap long volatility of volatility?

answered Mar 1 at 7:54

5 votes

Accepted

How to structure a trade using vanilla equity options to get vega exposure to forward volatility?

answered Apr 26 at 11:29

5 votes

Accepted

Assuming perfect liquidity

answered May 20 at 15:18

5 votes

Value of a European Call option with Infinite maturity

answered Jan 30 at 18:17

4 votes

Accepted

The derivation of vega/gamma relationship

answered May 27 at 11:00

4 votes

Why does the volatility smile flatten as maturities increase?

answered Jan 21 at 17:18

4 votes

Accepted

Can the risk neutral pdf derived from Breeden-Litzenberger Method be used to calculate vega and theta?

answered Jul 27 at 6:44

4 votes

How to find a risk-neutral measure for funds with management fee

answered Aug 23 at 14:27

3 votes

Accepted

Computing moments of implied distribution

answered Jul 5 at 18:23

3 votes

Accepted

Is this payoff an exotic option or a standard european?

answered Aug 6 at 15:04

3 votes

Difference Between Option market price and Theoretical price?

answered Aug 22 at 6:38

3 votes

Accepted

Volatility swaps hedging

answered Jan 15 at 9:36

3 votes

Vega hedge of a barrier option

answered Apr 27 at 7:33

3 votes

Accepted

Is there a risk-neutral measure if there are two stocks with different drift terms?

answered May 17 at 12:37

3 votes

Accepted

Calculating skew for an options structure

answered Jun 6 at 17:08

3 votes

Accepted

Check for arbitrage - European calls with same strike price, different duration and price

answered Jun 8 at 8:18

2 votes

Accepted

Is my solution on Black Scholes correct?

answered Jun 19 at 21:18

2 votes

Accepted

Smile Dynamics - forward variance

answered Jun 2 at 11:26

2 votes

Static and Dynamic Hedging of Vol/Var Swaps

answered Aug 22 at 10:14

1 vote

How to price very short dated options?

answered Jul 16 at 14:51

1 vote

Forward Black Implied Volatility For Within Risk Neutral European Option Pricing

answered Sep 1 at 7:20

1 vote

Accepted

Drift of stochastic variance as slope of the short end of the forward variance curve

answered Jun 11 at 8:11

1 vote

BS price as the first term of option price expansion

answered May 19 at 11:21

1 vote

What is the risk neutral expectiation of an option price given a move in spot?

answered Apr 13 at 15:11

Stack Exchange Network

25 Answers

Three mathematical mistakes in Black-Scholes-Merton option pricing?

Is variance swap long volatility of volatility?

How to structure a trade using vanilla equity options to get vega exposure to forward volatility?

Assuming perfect liquidity

Value of a European Call option with Infinite maturity

The derivation of vega/gamma relationship

Why does the volatility smile flatten as maturities increase?

Can the risk neutral pdf derived from Breeden-Litzenberger Method be used to calculate vega and theta?

How to find a risk-neutral measure for funds with management fee

Computing moments of implied distribution

Is this payoff an exotic option or a standard european?

Difference Between Option market price and Theoretical price?

Volatility swaps hedging

Vega hedge of a barrier option

Is there a risk-neutral measure if there are two stocks with different drift terms?

Calculating skew for an options structure

Check for arbitrage - European calls with same strike price, different duration and price

Is my solution on Black Scholes correct?

Smile Dynamics - forward variance

Static and Dynamic Hedging of Vol/Var Swaps

How to price very short dated options?

Forward Black Implied Volatility For Within Risk Neutral European Option Pricing

Drift of stochastic variance as slope of the short end of the forward variance curve

BS price as the first term of option price expansion

What is the risk neutral expectiation of an option price given a move in spot?