Questions about models for the valuation of option contracts.

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-2
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2answers
53 views

Option greeks: sensitivity to 1% move

In a Black&Scholes framework how can I compute the following sensitivities: to 1% move in the underlying price to 1% move in implied volatility I would like the greeks to tell me how many ...
8
votes
1answer
548 views

How to price a Swing Option?

I'm working in the commodity market and I've to price Swing Options with MATLAB, preferably with finite element. Has anyone already priced these kind of derivatives? I'm thinking about using the ...
5
votes
1answer
102 views

Time value of option not always leading to an increased option value

My understanding was that as you increase the time to expiry of an option, the value of the option increases. However, I have run a bunch of scenarios and have realized that if you assume a dividend ...
4
votes
1answer
109 views

How to price a futures spread option?

Let's say I have two futures contract $F_1(0,T)$ and $F_2(0,T)$ on two different correlated underlyings. If I assume that both underlying follow a GBM with volatility $\sigma_1$ and $\sigma_2$ ...
2
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1answer
140 views

american option and cash dividends

Can someoe help with this : What is the precise arbitrage argument demonstrating that the price of an american option should be continuous around an ex-dividend date? Thanks
1
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1answer
33 views

Pricing employee stock options

ESOs are typically priced using the black-scholes model, but with an additional parameter for for the employee turnover rates . An example ...
1
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1answer
48 views

Do I need simulink to model the risks of an option portfolio

I wish to buy Matlab Home and learn to model the risks of a derivatives portfolio and then stress test it. So I am guessing I will need : Stochastic calculus Linear algebra Stats/Probability Some ML ...
0
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0answers
57 views

Pricing defaultable binary option with hazard rate approach

I'm studying defaultable claims and asked myself how to price a digital payoff. Consider an option paying $1$ at maturity in case of non-default before maturity and if a given underlying process $S$ ...
0
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0answers
27 views

Real-World Cash Account Implementation and Return

Often in financial math, the concept of the risk-free cash account, with return R, is invoked as an instrument for calculating prices - when constructing an option-replicating portfolio, for example. ...
0
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0answers
363 views

R or Matlab code for Multi-Barrier-Options (3 or more underlyings)

I am looking for R or Matlab code examples of multi-barrier-options (or multi-barrier reverse convertibles) with at least 3 underlyings. Do you have such code or can you point me to a place where I ...
0
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0answers
110 views

The basic principle of the construction a portfolio of options

I have a question like this. Assume today's date is 9 January 2016 and XYZ's share price stands at $10. On 8 November 2016 there is a Presidential election and you believe that depending on who is ...