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Black Scholes Merton
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Primer On Arbitrage And Asset Pricing
Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]
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The Volatility Smile Problem: From Within
In the following, I will say what the smile problem is, and I am not sure everyone will follow me. This is how deeply and how long I’ve been thinking about the smile problem. I’ve […]
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The Irony in the Variance Swaps
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Volatility: Time and Black–Scholes–Merton
The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]