Articles

Binary Backwards

29th October 2019 Editor 0

Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]

Articles

Valuation of American Call Options

11th July 2018 Editor 0

The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have […]

Articles

What is Implied by Implied Volatility?

14th May 2018 Editor 0

Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]

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