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.
5
votes
0answers
200 views
option chain data visualization, sunburst
I think option chains are not represented in the best way. With more and more options products coming out and trading on the various exchanges, I see vendors struggling to keep up with a good way to ...
5
votes
0answers
100 views
Replicating portfolio and risk-neutral pricing for interest rate options
For equity options, the pricing of options depends on the existence of a replicating portfolio, so you can price the option as the constituents of that replicating portfolio. However, I am not seeing ...
3
votes
0answers
110 views
Arbitrage free price of a derivative when the price is collected over the lifetime of the derivative
Let $X_t$ be an american style financial derivative with random exercise time $T$
where $t$ and $T$ belongs to some finite set $A$.
Buying this derivative requires the buyer to pay $p_t$ up to time ...
3
votes
0answers
129 views
How companies choose earnings release dates, & effect on Implied Volatility
A company's earnings release date significantly affects weekly or monthly option prices/implied volatility. For companies that typically release earnings on the cusp of monthly options expiration, ...
3
votes
0answers
81 views
Analysis of Unbalanced Covered Calls
Hello I am doing an analysis on covered calls with and extra amount of naked calls. Ignore the symbol and current macroeconomic events.
I couldn't find any reference to this strategy (unbalanced is ...
3
votes
0answers
164 views
What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying?
Curious as to whether or not there is any sort of all time record. Any index, future, or stock will do. Volatility must be well above the average 1 year volatility for all periods.
2
votes
0answers
64 views
Any thoughts on how Warren Buffet's B of A warrants might be “marked-to-market” by either counterparty?
It's not too long since Berkshire Hathaway got its 10-year warrants in Bank of America alongside its \$5 billion purchase of preferred stock. At the time I saw some discussion about the value of ...
2
votes
0answers
90 views
How to find the upper bound of a digital option given some market data?
Given the price of a call equals to 5 with Strike 100, please find the upper bound (sup) of the digital option with strike 105.
I am not sure about the solution, but I write the condition like this,
...
2
votes
0answers
107 views
What is the highest frequency greek for options on futures on bonds?
I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
2
votes
0answers
160 views
Tian third moment-matching tree with smoothing - implementation
I was wondering if someone has an implementation of the Tian third moment-matching tree (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1030143) with
smoothing in code (e.g. c++, vba, c#, etc.)?
...
1
vote
0answers
86 views
Interpolate option volatility in delta space in R
I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
1
vote
0answers
82 views
Pricing a Power Contract derivative security
I'm trying to price a "power contract" and would appreciate guidance on the next step. The payoff at time $T$ is $(S(T)/K)^\alpha$, where $K > 0$, $\alpha \in \mathbb{N}$, $T > 0$. $S$ is ...
1
vote
0answers
81 views
How to calculate a the PFE for a Swaption?
How do you calculate the Potential Future Exposure (PFE) for a swaption?
Do you incorporate the dynamics of implied volatility when you are running your simulations?
Is there a standard way to ...
0
votes
0answers
152 views
Lagging Beta Strategy
Came across a method involving pairs in the book Hedge Fund Market Wizard:
Given a Stock(or Collective of instruments)that follows closely to say Dow index with a beta<1(very short term) but ...
