2
votes
0answers
74 views

negative transition probabilities in the heston model

I've been trying to implement a bivariate tree for pricing american options with the heston model in R using the paper of Beliaeva and Nawalkha ...
1
vote
2answers
89 views

Joint distribution from expectations

Given two random variables $X$ and $Y$ and let $K$ be a constant value. Assume the expectation $\mathbb{E}[X(Y-K)^{+}]$ is given for all possible values of $K\geq 0$. Is there a way to derive the ...
1
vote
1answer
119 views

Effects of random-generator-choice on derivative's price

There is a plethora of pseudo-random-generators out there. Some of them are definetly better and some of them severily underperform. My standard tool is Mersenne Twister - when I need to generate ...
1
vote
2answers
400 views

Finding Probabilities Using The Binomial Model

I was not able to find a similar question when searching, but if I've missed one please feel free to point me to it. Unfortunately the closest example in the textbook was not terribly helpful either. ...
0
votes
1answer
112 views

Symmetry of option-implied probability density

I was wondering whether the option implied probability density of the log returns: $x = \ln\left(\frac{S}{S_0}\right)$ with S the value of a certain stock, is always symmetric ? I was asking myself ...
2
votes
0answers
144 views

Probability Density of Returns of Bonus Certificates

Could anyone please help me with the following? I need to generate a histogram (resp. probability density) of returns of a bonus-certificate. A bonus-certificate can be replicated by an underlying ...
14
votes
8answers
4k views

Probability of touching

For a vanilla option, I know that the probability of the option expiring in the money is simply the delta of the option... but how would I calculate the probability, without doing monte carlo, of the ...