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emcor

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18

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7

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Formal proof for risk-neutral pricing formula

option-pricing pricing-formulae risk-neutral-measure

Nov 8 '16 at 4:12 SRKX 10.6k

15

votes

6

answers

5k

views

Self-financing and Black-Scholes-Merton formula

black-scholes stochastic-calculus

Nov 23 '19 at 16:09 emcor 5,429

13

votes

2

answers

828

views

The greeks: where do they come from?

black-scholes greeks books black-scholes-pde

Aug 25 '18 at 12:59 Magic is in the chain 5,554

12

votes

3

answers

643

views

Why do people always seek finite-variance models for option pricing

option-pricing stochastic-processes modelling

Jul 17 '15 at 13:38 NaN 11

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votes

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answers

5k

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Option Pricing Model Calibration In Practice

option-pricing calibration heston modelling

Jun 26 '15 at 18:51 Olaf 1,729

9

votes

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answer

5k

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Multidimensional Ito's Lemma for Vector-Valued functions

stochastic-calculus itos-lemma

May 27 '15 at 2:56 quasi 1,710

8

votes

1

answer

3k

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Heston Model Option Price Formula

option-pricing heston

Jun 10 '17 at 7:20 msitt 731

8

votes

3

answers

1k

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Convexity of BS Equation for Call and Put

black-scholes soft-question

Mar 21 '14 at 20:18 Hans 2,254

7

votes

1

answer

2k

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Arbitragefree Pricing: Q vs. P

probability arbitrage pricing risk-neutral-measure no-arbitrage-theory

Jan 9 '20 at 12:54 Devika 1

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votes

2

answers

8k

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Orderbook Arbitrage

quant-trading-strategies trading market-microstructure algorithmic-trading trading-systems

Jan 13 '16 at 14:26 Community♦ 1

4

votes

2

answers

481

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

stochastic-calculus market-model lmm

Aug 13 '14 at 3:02 athos 2,017

3

votes

3

answers

509

views

Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?

asset-pricing continuous-time

Jul 15 '14 at 6:39 vonjd 25.4k

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votes

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How to model the daily return using intraday data?

returns expected-return

Jun 13 '15 at 13:02 Community♦ 1

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