Tail options pricing under power law (with code)The Black-Scholes model assumes normality and and stable variance (2nd and higher moments existing). But what if the volatility changes andAug 15, 20241Aug 15, 20241
Options’ Implied Probability (with code): Risk-Neutral Densities modelling – Covid exampleApr 17, 20242Apr 17, 20242
Options’ Implied Probability: A Dive into Risk-Neutral DensitiesIn this article, I will describe the method of retrieving the options’ implied probability from option prices. The result will be…Jan 6, 20242Jan 6, 20242
Crank-Nicholson (Finite Difference) with Black-Scholes (with code)In this article, I’m diving into applying the Black-Scholes formula using the Implicit Crank-Nicholson Finite Difference Method. The method…Dec 30, 20231Dec 30, 20231
China CNY/CNH Spread Arbitrage with GARCH (code included)Foreign exchange markets are pivotal in facilitating global economic activities, playing a fundamental role in trade, investment, and…Dec 1, 2023Dec 1, 2023
Pricing Options with Fast Fourier Transform (FFT) — Heston, Variance-Gamma and Black-Scholes (with…In this article, I’ll show how you can value options with Fast Fourier Transform (FFT). The concepts and part of the code, that I’ll…Nov 20, 2023Nov 20, 2023
Explicit Finite Difference Method with Black-Scholes Formula (with code)This is my first article from the series about options pricing and volatility modeling. I will try to show the concepts in the most…Nov 18, 20233Nov 18, 20233
