<we><edit> <!-- questions and answers -->
fx
r
risk-models
sharpe-ratio
market-microstructure
optimization
machine-learning
trading
forward
bloomberg
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pairs-trading
heston
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market-making
finance-mathematics
python
stochastic-processes
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mathematics
high-frequency
option-strategies
quantlib
portfolio-management
finance
black-scholes
How to estimate Black Scholes parameters using Maximum Likelihood estimate method
black-scholes
black-scholes-merton
Why are vanilla OTC options are quoted in delta and vol?
option-pricing
black-scholes
delta-hedging
Black-Scholes Equation - Riskless portfolio derivation
black-scholes
replication
black-scholes-pde
Using BS Delta to hedge in a LV Model
options
black-scholes
delta-hedging
delta
Black Scholes and the Log Normal Distribution
black-scholes
log-returns
lognormal
What is the process of hedging a call option bought?
options
option-pricing
black-scholes
finance
brownian-motion
List of packages in R for options pricing?
option-pricing
black-scholes
How to use Kelly criterion (or other way to maximize expected growth rate) to position size option trades?
black-scholes
kelly-criterion
Use of cash delta vs forward delta and the mirror image rule
options
black-scholes
delta
call
put
Different scaling conventions for greeks
options
black-scholes
greeks
quantlib
Black Scholes in the case of dividends
black-scholes
stochastic-processes
stochastic-calculus
itos-lemma
black-scholes-pde
Simulate double exponential process with correlated jumps?
black-scholes
correlation
simulations
jump
jump-diffusion
Black-Scholes under stochastic interest rates
option-pricing
black-scholes
interest-rates
monte-carlo
stochastic-discount
Black Scholes other than pricing derivatives
black-scholes
derivatives
Bachelier model VS Black Scholes in call option pricing. Why are they so different?
options
black-scholes
Pricing call option on S&P 500
options
option-pricing
black-scholes
Change of numéraire for non-Normal distributions
option-pricing
black-scholes
numerairechange
Exercise Probabilities Vanilla Cap/Foor
options
black-scholes
derivatives
Probability distributions as solutions to differential equations
black-scholes
reference-request
differential-equations
soft-question
asian-option
How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)
black-scholes
stochastic-processes
stochastic-volatility
delta-hedging
stochastic-control
Interpertation of delta hedge error in Black Scholes
options
black-scholes
quant-trading-strategies
delta-hedging
hybrid models with FX
black-scholes
stochastic-processes
fx
hullwhite
girsanov
Black Scholes Theta Finite difference
black-scholes
greeks
finite-difference-method
theta
sensitivities
Determine the payoff function P(ST) if a future contract
black-scholes
finance
monte-carlo
payoff
Black-76 Model for Swaption Price and Greeks
options
option-pricing
black-scholes
swaption
black
Understanding put-call parity
black-scholes
put-call-parity
What are some useful approximations to the Black-Scholes formula?
options
option-pricing
black-scholes
optimization
Why the expected return rate of a stock has nothing to do with its option price?
options
black-scholes
stochastic-processes
stochastic-calculus
expected-return
Black-Scholes equation for barrier options
option-pricing
black-scholes
black-scholes-pde
barrier
Transforming and minimisation of the BS PDE
black-scholes
numerical-methods
black-scholes-pde
Gamma/delta dynamics in the Black Scholes model and it's relation to PnL (Basic of option theory)
black-scholes
greeks
delta-hedging
gamma
Creating riskless portfolio in black scholes
black-scholes
risk
portfolio
Cause of difference in theoretical vs observed value of a (call) option under the Black-Scholes model?
option-pricing
black-scholes
programming
homework
Change in call price Value as time goes by
options
black-scholes
delta-hedging
Continuous returns in BS-market
black-scholes
stochastic-processes
portfolio-management
brownian-motion
modern-portfolio-theory
Different Results Monte Carlo and Black-Scholes - where is my mistake?
black-scholes
monte-carlo
Call option with underlying following a Bachelier process
options
option-pricing
black-scholes
call
IvyDB: St as the only unknown variable in the BS formula
options
black-scholes
Volswap: fair strike and number of fixings
volatility
black-scholes
fair-value
Black Scholes Equation into the Heat Equation?
black-scholes
quant-trading-strategies
black-scholes-pde
differential-equations
derivation
Why has the Bachelier implied volatility an elevated curvature than the BS implied volatility?
black-scholes
implied-volatility
Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator
options
option-pricing
black-scholes
fx
bloomberg
Stop-loss start-gain paradox: Why is it a 'paradox'?
black-scholes
finance-mathematics
option-strategies
Delta of a Digital option
options
black-scholes
delta
delta-hedging
Which risk-free interest rate to use in Black-Scholes equation
black-scholes
interest-rates
risk
black
Why is Bachelier implied volatility more skewed than the Black-Scholes implied volatility?
volatility
black-scholes
skew
implied
Pricing of multi strike rainbow options
options
option-pricing
black-scholes
exotics
Spot-Forward Relationship - Proof
black-scholes
forward
forward-rate
spot-rate
proof
Option Valuation
options
option-pricing
black-scholes
Black-Scholes PDE - Change of Variables
black-scholes
black-scholes-pde
parabolic-pde
Pricing and hedging of vanilla options based on non-tradable underlying
option-pricing
black-scholes
hedging
european-options
Equivalent Martingale Measure(EMM) of Inverse of Stock Price
option-pricing
black-scholes
stochastic-calculus
risk-neutral-measure
numerairechange
Question about the vega of a stock
black-scholes
put-call-parity
vega
Evaluating contract $D$ where the stock follows the Black Scholes assumption
options
black-scholes
finance-mathematics
math
4-point Trapezium rule for numerical integration
black-scholes
finance-mathematics
mathematics
numerical-methods
European option Vega with respect to expiry and implied volatility
options
black-scholes
european-options
vega
Mark Joshi, The concepts and practice of mathematical finance chapter 6 exercise 20,21
option-pricing
black-scholes
finance-mathematics
math
Constant volatility and risk-free rate assumptions of Black Scholes
options
black-scholes
risk-neutral-measure
martingale
black-scholes-merton
How to find correct change of measure
option-pricing
black-scholes
stochastic-calculus
Besides arbitrage opportunities, are there other properties that real world markets cannot have
black-scholes
models
no-arbitrage-theory
Is the delta of a binary option the same as the delta for a regular European option?
options
black-scholes
black
binary
Option pricing formula for deep in-the/out-of money options?
options
option-pricing
black-scholes
Black-Scholes formula producing a negative number for a Call Option
option-pricing
black-scholes
Can we rewrite the pnl of a continuous hedge option as the time average of the volatility weighted by the square gamma?
black-scholes
hedging
pnl
Pricing 'Down and In' claims
black-scholes
barrier
Local volatility equation for daily margining option data
black-scholes
calibration
local-volatility
How are the two concepts No arbitrage & Risk neutral probability related?
black-scholes
risk-neutral-measure
no-arbitrage-theory
Finding a replicating portfolio (Solution Critique)
option-pricing
black-scholes
Delta of a derivative with a linear payoff
black-scholes
Interpretation of drift parameter $\mu$ in GBM
equities
black-scholes
brownian-motion
arbitrage
Hedging error in a stochastic volatility model
black-scholes
hedging
stochastic-volatility
delta-hedging
Original Black-Scholes paper assumptions -- "variance rate"
option-pricing
black-scholes
Black & Scholes with stochastic interest rate
options
option-pricing
black-scholes
interest-rates
call
Black-Scholes vs Black equation
option-pricing
black-scholes
interest-rates
black76
Pricing 0% interest rate Floor Black Model
black-scholes
interest-rates
derivatives
Why Drifts are not in the Black Scholes Formula
options
option-pricing
black-scholes
risk-neutral-measure
How are the BKM risk-neutral moments derived?
options
black-scholes
implied-volatility
volatility-smile
skew
Problems in understanding BSM formula
black-scholes
black-scholes-merton
A simple question: Cost of delta hedging when a call option is sold
option-pricing
black-scholes
european-options
Tracking error Black Scholes
options
black-scholes
hedging
option-strategies
delta-hedging
Monte Carlo simulation and Black Scholes give different results in my code
option-pricing
black-scholes
monte-carlo
Theta from R fOptions package
black-scholes
Quoting options with reference price and delta
black-scholes
implied-volatility
european-options
Sticky Implied Tree Implementation
option-pricing
black-scholes
delta
Graph of lambda for European put and call options
options
black-scholes
greeks
Price of the form $v(t,x)=\phi(t,T)x^n$ for a power option
black-scholes
risk-neutral-measure
exotics
How to extrapolate implied volatility for out of the money options?
options
research
black-scholes
implied-volatility
Which volatility to use in cap pricing with CSA discounting?
black-scholes
ois-discounting
collateral
Risk-neutral expectation equation with collateral and funding costs
black-scholes
discounting
collateral
Projecting a Thiele differential equation with Black Scholes returns
black-scholes
programming
finance
simulations
actuarial-science
Show that $V=\sum_{i=1}^n h_i(t)S_i(t)$ satisfies the Black-Scholes equation
black-scholes
Pricing for an Odd Type of Asset or Nothing Option
option-pricing
black-scholes
exotics
binary-options
SPY American option Greeks and Premium
black-scholes
american-options
Price of Geometric basket call option
option-pricing
black-scholes
Transformation from the Black-Scholes differential equation to the diffusion equation - and back
black-scholes
differential-equations
Normalized Gains Process is a Q-Martingale - Proof and Intuition
black-scholes
stochastic-calculus
girsanov
Relationship between forward and option prices
options
black-scholes
interest-rates
forward
put-call-parity
ITM call delta when T increases
black-scholes
european-options
Determine price of financial contract
option-pricing
black-scholes
Black model for indices
options
black-scholes
fixed-income
bond
black