User emcor

29 votes

Accepted

Worked examples of applying Ito's lemma

answered Jul 21, 2014 at 8:49

11 votes

Probability of stock closing over a certain price

answered Aug 20, 2014 at 10:50

11 votes

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Girsanov Theorem and Quadratic Variation

answered Sep 18, 2014 at 9:28

11 votes

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Effect of volatility on the delta of a call option

answered May 29, 2015 at 21:12

9 votes

Accepted

How can put options be more expensive than call options in an efficient market?

answered May 29, 2015 at 21:01

7 votes

Self-financing and Black-Scholes-Merton formula

answered Jun 27, 2014 at 10:11

7 votes

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Valuing a warrant on a warrant

answered Jul 7, 2014 at 16:33

6 votes

Filtration and measure change

answered Sep 10, 2014 at 20:28

5 votes

Pricing American with floating strike

answered Sep 28, 2014 at 13:15

5 votes

Is linear programming important for quant?

answered Sep 27, 2014 at 7:14

5 votes

Intuition behind American Option pricing

answered Aug 28, 2014 at 20:34

5 votes

Using Fourier Transforms for stock option pricing with stochastic interest rates

answered Jul 1, 2014 at 12:52

5 votes

How to compute the implied probability of default from a CDS spread?

answered Dec 25, 2014 at 23:25

4 votes

Accepted

Bloomberg-alternatives for intraday stock price data?

answered Nov 28, 2014 at 23:11

4 votes

Mean Variance Portfolio theory and real-world problem?

answered Oct 13, 2015 at 9:29

4 votes

Computing Pooled IRR from the IRRs of parts

answered Dec 3, 2015 at 0:14

4 votes

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Question regarding No Arbitrage price of a call option

answered Dec 13, 2019 at 22:38

4 votes

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What is wrong in this GBM simulation?

answered Sep 3, 2014 at 15:53

4 votes

Is it fair to assume $(ud=1)$ in the binomial tree option pricing model?

answered Sep 30, 2014 at 21:19

3 votes

How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?

answered Sep 17, 2014 at 7:29

3 votes

Valuation of barrier options in Jump diffusion model

answered Sep 2, 2014 at 22:07

3 votes

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Copula- AR simulation

answered Sep 3, 2014 at 10:26

3 votes

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Portfolio Optimization - n risky assets

answered Aug 23, 2014 at 14:23

3 votes

Accepted

How can I calculate the strike price or implied volatility from a given delta?

answered Jul 2, 2014 at 17:45

3 votes

Getting the next price of a GBM with reversion

answered Jul 3, 2014 at 23:17

3 votes

What happens when bond price is less than the recovery rate

answered Jul 23, 2014 at 21:05

3 votes

question on Leif Andersen's "Interest Rate Modeling, vol 2 Term Structure Models"

answered Aug 10, 2014 at 21:11

3 votes

Black-Scholes Equation - Riskless portfolio derivation

answered Aug 13, 2014 at 19:46

3 votes

Validating a Credit Scoring Model without Data

answered Dec 3, 2015 at 20:37

3 votes

Accepted

Arbitrage opportunity between two call options with strike price \$40, \$30 and cost \$4, \$3 respectively?

answered Dec 8, 2019 at 4:06

Stack Exchange Network

120 Answers

Worked examples of applying Ito's lemma

Probability of stock closing over a certain price

Girsanov Theorem and Quadratic Variation

Effect of volatility on the delta of a call option

How can put options be more expensive than call options in an efficient market?

Self-financing and Black-Scholes-Merton formula

Valuing a warrant on a warrant

Filtration and measure change

Pricing American with floating strike

Is linear programming important for quant?

Intuition behind American Option pricing

Using Fourier Transforms for stock option pricing with stochastic interest rates

How to compute the implied probability of default from a CDS spread?

Bloomberg-alternatives for intraday stock price data?

Mean Variance Portfolio theory and real-world problem?

Computing Pooled IRR from the IRRs of parts

Question regarding No Arbitrage price of a call option

What is wrong in this GBM simulation?

Is it fair to assume $(ud=1)$ in the binomial tree option pricing model?

How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?

Valuation of barrier options in Jump diffusion model

Copula- AR simulation

Portfolio Optimization - n risky assets

How can I calculate the strike price or implied volatility from a given delta?

Getting the next price of a GBM with reversion

What happens when bond price is less than the recovery rate

question on Leif Andersen's "Interest Rate Modeling, vol 2 Term Structure Models"

Black-Scholes Equation - Riskless portfolio derivation

Validating a Credit Scoring Model without Data

Arbitrage opportunity between two call options with strike price \$40, \$30 and cost \$4, \$3 respectively?