Tag Info

Hot answers tagged

5

A warrant represents the option to receive a share of stock, newly issued by the company, which in general causes dilution. An option is usually the right to receive an already outstanding share of stock, purchased from a third party.


4

It's because of the settlement days you passed when you initialized the flat volatility curve. You're creating the spot, forward and flat volatilities as: boost::shared_ptr<BlackVarianceSurface> volatilitySurface( new BlackVarianceSurface(todaysDate, calendar, maturityArray, strikeArray, ...


2

in addition to the answer above: If the option is settled on an exchange, the terms will be standardised and a secondary market will exist making it a liquid instrument (with dedicated counterparties offering to match each side of the trade). A warrant will be more thinly traded and will trade over the counter (OTC), and will have terms that are specific to ...


2

VG belongs in the family of variance-mean mixture models. Given a horizon $T$ the distribution of log-returns $f$ is a mixture of Gaussians $f_G$ with randomised mean and variance. The randomisation density is $g$ and its mean and variance increase with $T$. For the VG process this randomised factor is Gamma-distributed. More concretely, denote with ...


1

I see a theta of -0.03ish. Delta is about the order of magnitude of your number, maybe you mixed them up?


1

You can use the "Merton Jump Diffusion Model" to price European Options with jumps. The other points of your question are rather of practical relevance only. The negative drift of the underlying is usually not important, because the pricing goes under the riskneutral measure $Q$.


1

I think that for any $q>0$ it becomes optimal to exercise an American call for a sufficiently high spot price $S$: if the spot increases enough, the dividend yield corresponds to sufficient cash dividend to render exercise optimal. This would happen irrespective of the value of $r$ or the sign of $r-q$. What matters is that, for a given strike $K$, the ...


1

Stock markets? Not that I know of. I would say ICE and NYMEX have OTC power contracts but I believe they have pretty big margins and account minimums for that kind of contract. Just at looking at today's settlements I see very little traded on Clearport.



Only top voted, non community-wiki answers of a minimum length are eligible