<we><edit> <!-- questions and answers -->
distribution
variance
trading
fx
optimization
machine-learning
models
beta
currency
martingale
simulations
mathematics
bond-yields
econometrics
modern-portfolio-theory
american-options
finance
brownian-motion
heston
python
high-frequency
credit-risk
volatility
value-at-risk
correlation
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
Simulate double exponential process with correlated jumps?
black-scholes
correlation
simulations
jump
jump-diffusion
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
Exercise Probabilities Vanilla Cap/Foor
options
black-scholes
derivatives
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
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
Different Results Monte Carlo and Black-Scholes - where is my mistake?
black-scholes
monte-carlo
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
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
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
Dividend yield for an index
options
black-scholes
forward
index
dividends
Derivation of the Black-Scholes formula
black-scholes
Bond ETF Options and Forwards
options
black-scholes
forward
etf
bond-futures
"Black-Scholes model implies flat implied volatility plots"?
black-scholes
implied-volatility
volatility-smile
Build Implied Volatility Smile
option-pricing
volatility
black-scholes
implied-volatility
bitcoin
How to derive the Greek theta from Black-Scholes solution formula?
options
black-scholes
greeks
self-study
proof
Is it possible that under Black-Scholes: $\ln S_{T} \sim N \left ( \ln S_t - \frac{1}{2}\sigma^2(T-t), \sigma^2(T-t) \right )$
option-pricing
black-scholes
normal-distribution
Intuition behind Ln transformation of stock price when applying Ito lemma
black-scholes
itos-lemma
Assumption in black scholes solution
black-scholes
black-scholes-pde
Rigorous derivation of $d\Pi$ for stock with continuous dividend
black-scholes
black-scholes-pde
Black Scholes vs Binomial Model
options
black-scholes
binomial
Theoretical models for options bid-ask spread?
options
option-pricing
black-scholes
market-making
spread
Black & Scholes doesn't give current option market price
options
option-pricing
black-scholes
pricing
exchange
Finding Similar Options
options
black-scholes
risk
risk-management
greeks
optimizing the expected utility
black-scholes
risk
portfolio-optimization
utility-theory
Probability of exercise in the Black-Scholes Model
option-pricing
volatility
black-scholes
probability
risk-neutral-measure
Calculating Strike of a Put with a fixed delta exposure using black Scholes Model
options
black-scholes
excel
put
At-The-Money-Forward option approximation
option-pricing
black-scholes
Black-Scholes European call price taking limits
option-pricing
black-scholes
call
Using Black-Scholes to price a geometric average price call
black-scholes
stochastic-calculus
Yet another question about the risk-neutral measure. Why is the risk-neutral probability of an infinitely volatile GBM 0?
options
black-scholes
risk-neutral-measure
straddle return
options
black-scholes
Option on Futures - Black Equation Derivation
black-scholes
pricing option with two stocks
options
option-pricing
black-scholes
risk-neutral-measure
pricing
Deriving the Black-Scholes formula as the expected value on the payout of an option
black-scholes
How do I modify my basic black scholes model in Excel to price american options?
options
equities
black-scholes
derivatives
excel
Black-Scholes formula proof, without stochastic integration
options
black-scholes
stochastic-processes
call
Black Scholes diffusion well coded in Python
black-scholes
python
Ways of treating time in the BS formula
option-pricing
black-scholes
Drift rate vs. Riskless rate in the Black-Scholes model
black-scholes
risk-neutral-measure
risk-free
Reference that states that the price of an option is not the expected present value of the payoffs under Black and Scholes?
options
black-scholes
arbitrage
risk-neutral-measure
Equivalent martingale measure price dynamics
black-scholes
arbitrage
risk-neutral-measure
finance-mathematics
martingale
Attempt of an analytical proof that a call price decreases as its strike increases
black-scholes
greeks