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-3
votes
1answer
149 views
Why do we need derivatives? [closed]
I read somewhere that derivatives are the biggest weapons of financial destruction. Why do we need derivatives? If exploiting risk-proneness of people to make profit is the goal, why don't we stop ...
23
votes
8answers
1k views
Option pricing before Black-Scholes
According to the Wikipedia article,
Contracts similar to options are believed to have been used since ancient times.
In London, puts and "refusals" (calls) first became well-known trading ...
3
votes
1answer
197 views
Inferring highest bid and lowest ask from forex trade data
I have historical trade data for every trade on a forex exchange, whcih includes the following data:
Time the trade was made
Amount, in currency A
Price, in currency B
I have also used this to ...
4
votes
1answer
273 views
What is the origin of the words “put” and “call” that characterize derivatives?
And, in a second round, what is the origin of the "long" and "short" in characterizing the respective positions in assets? Any pointers to etymology, first occurrences, or related literature would be ...
3
votes
1answer
233 views
FX option history
I am testing my model and I am interested in options prices on EUR|USD for Jan, 2011.
The history can be even daily - but I have never had a deal with fx options, so I don't know where start to look ...
5
votes
2answers
512 views
Free/cheap source of structured historical quarterly filings?
What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured ...
14
votes
2answers
419 views
Who has introduced the term 'vega' and why?
The sensitivity of the option value $V$ to volatility $\sigma$ (a.k.a. vega) is different from the other greeks. It is a derivative with respect to a parameter and not a variable. To quote from Paul ...
