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bcf
  • Member for 8 years, 9 months
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9 votes

Stopping Monte Carlo simulation once certain convergence level is reached

7 votes

Transformation from the Black-Scholes differential equation to the diffusion equation - and back

6 votes
Accepted

How many monte carlo runs do I need for pricing a Call?

4 votes
Accepted

How to estimate today's closing price?

3 votes

How would I exploit arbitrage if risk-neutral pricing doesn't hold? (Option Pricing)

3 votes

Need for Binomial Representation Theorem

3 votes
Accepted

Link between two Itô's Lemma written in different ways

3 votes
Accepted

Implications of Black Scholes Plot

2 votes

How to get around flat likelihood function when calibrating GBM parameters?

2 votes
Accepted

How can I make this portfolio self-financing?

2 votes

Why we consider second derivative w.rt price but only first derivative w.r.t time and volatility

1 vote

Arbirtage free price process question in Bjork's Arbitrage Theory in Continuous Time

0 votes

What is a definition of "Benchmark"?