# Tagged Questions

A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.

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### Can someone check this boundary condition for me?

At the moment I'm comparing plots between the implicit numerical Black-Scholes PDE and the Monte-Carlo Method for the Black-Scholes equation. However, for the particular boundary condition I'm using I'...
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### Time Value of Option

I am working on time value of option, and especially with dividend, and I have the following questions. First if the consider the Black Scholes models with no dividends and free interest rate $r = 0$ ...
161 views

### How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
745 views

### Which risk free rate is assumed by market when pricing american options?

I'm just started with finance, so maybe my question is dumb or answered elsewhere. Please guide me to relevant materials. According to put-call parity more time to expiration means more difference ...
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### FTAP wih Heston Model

The Fundamental Theorem of Asset Pricing (FTAP) is invoked when we say the time $0$ price of a European option with payoff $g$ is $e^{-rT}E_Q(g(S_T))$, with the hypothesis that $e^{-rt}S_t$ is a $Q$-...
167 views

### How do you check your option calculations?

I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial... I'm not really sure how to check my calculations. I tried using QuantLib to ...
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### Variability of IVs of OTM options

I'm attempting to fit a curve through moneyness/IV datapoints of intra-day options. As you can see, the data gets sparser and more variable for highly OTM options. I'd like to argue why the outliers ...
237 views

### Option greeks vs Position greeks

I know that when it comes to delta, you would calculate your position delta (of a stock position) as follows: option delta * position size * 100 For example if I ...
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### Can the concept of negative probabilities be used to price a call option?

Assume that we have a general one-period market model consisting of d+1 assets and N states. Using a replicating portfolio $\phi$, determine $\Pi(0;X)$, the price of a European call option, with ...
249 views

### Pricing when arbitrage is possible through Negative Probabilities or something else

Assume that we have a general one-period market model consisting of d+1 assets and N states. Using a replicating portfolio $\phi$, determine $\Pi(0;X)$, the price of a European call option, with ...
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### Can someone try this Boundary Condition for the Black-Scholes PDE out for me?

I have a bit of a favor to ask and if anyone could help me out with this I'd really appreciate it. At the moment I'm trying to use the triangle wave formula as the payoff for the Black-Scholes PDE i.e....
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### How do I calculate the probability of a short option position expiring worthless?

I want to be able to determine the probability of a short option position (call or put) expiring worthless. Don't know where to start but I see probabilities derived from the greeks on some web sites?...
480 views

### Lower bound of ITM Calls when computing Implied Volatility

Assuming the Black Scholes model and pricing formula of a European call option. Then, if the call is ITM, i.e. if $ln(\frac{S}{K})>0$, the $d_1$-term will go towards infinity as $\sigma$ goes to ...
250 views

### Volatility Smile Approximation

Does anyone know what type of model is used to model the skew and IVs inside Thinkorswim platform for its volatility smile approximation? I am trying to replicate but do not know where to start. Any ...
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### What does (a,b,c curve coefficients) mean for an Implied Volatility Parameterized Surface data? [closed]

I have a dataset which provides a, b, c curve coefficients for an Implied Volatility Parameterized Surface data for a ticker. What do they mean?
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### How to calculate implied borrow rates from option chain information?

I am given information about a ticker with following options data: stock price, date, expiration date, strike price, call / put indicator, style (American or European), ask price, bid price, mean ...
123 views

### What is the probability that a OU process hits an upper barrier U before a lower barrier L?

What is the probability that the arithmetic OU process $dx_t= \theta(\mu-x_t)dt+\sigma dW_t$ hits barrier $U$ before hitting barrier $L$ when $L<x_0<U$ ?
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### Finding the corresponding Strike

I have been asked the following question recently, and I was unable to find the solution (I have the feeling that either a data is missing or I misunderstand a notion). Here is the following question :...
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### Swaption pricing

I am trying to understand the pricing of various types of swaptions. Suppose I have a swap that starts in 3 months time. How would I go about pricing a swaption on this swap in the following cases: ...
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### Black-Scholes PDE boundary condition question regarding limits

I'm working with the Black-Scholes PDE and I'm testing some things out by taking an initial condition for it as $\sin(S/50)$, where $S$ is the spot price. My issue comes with attempting to find the ...
164 views

### Computing loss of Call / Stock Purchase

A seller of an European Call, can, subjectively have unbounded losses. This loss may be mitigated by buying the stock (covered call). In this case,, the loss will be bounded at A. How would one ...
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### Calculation of option Greek (sensitiviety) theta via finite difference

I am able to get good approximations for delta, gamma, and rho via finite difference method, but not theta. I believe my issue is the value of h. Theta is basically the difference between the price ...
160 views

### Negative adjusted strike in Levy's Asian option approximation?

In Edmond Levy's 1992 paper, he introduced a moment-matching method to approximate the price of an Asian option assuming GBM for the underlying. It suggested that, if some monitor points are already ...
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### Heston Model Integration Oscillations

Is there a way to reduce oscillations for the numerical integration when evaluating the Heston model. I am pricing a series of 5000 options scattered over the Heston model parameter space and I find ...
207 views

### Reuters RIC chain for Eurodollar midcurve options

Can someone please tell me what this is? Thanks. Edit: The RIC for the straight eurodollar options is 0#GE+, I need RICs for the 1,2,3,4 mid curve options which the IMM/IOM calls GE0, GE2, GE3, GE4....
407 views

### Appropriate measure of Volatility for economic returns from an asset?

In order to use Real Option Valuation (ROV), using Black-Scholes equation, I must know the volatility of the economic returns for T years. Knowing this information what could be the appropriate ...
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### Initial/Boundary Conditions for a Butterfly Option?

What are the initial and boundary conditions for a Butterfly Option? I want to write up a PDE program for it and I have a rough idea of what the payoff should be (is it just a call and a put at the ...
499 views

### Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options

The asset-or-nothing European option pays at t = T the value of the stock when at time T that value exceeds or is equal to the exercise price E, and nothing if the value of the stock is below E. So, ...
4k views

### Call option arbitrage opportunity

I am having trouble wrapping my head around some text provided to us by our lecturer (unfortunately he is currently unavailable). If we let $c$ be the price of a European call option, $S_0$ the ...
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### Complicated American style option contract with numerous non-standard features (simultanous exercise, additional premium, etc.)

I want to value the following contract for times $0<t<T$, i.e. determine $V(t,\cdot)$ where $\cdot$ refers to all other dependences (strike, spot, volatility, etc.). The contract is long and ...
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### trading equities on options feed/microstructure data

Obviously, not asking for a trading strategy, but do people successfully use options feed/microstructure data to trade equities intraday? What's the general framework for such strategies?
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### Why buy/sell a forward starting option?

More precisely, in equity markets, why would one prefer to buy a forward starting option over a vanilla option ? What about the selling side ?
201 views

### Options Data Sources

I am using Option Metrics to study a couple of things related to options. However, Option Metrics is quite limited in terms of scope (mainly it's US equities). I was wondering two things: 1) Are ...
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### if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?

if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?