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There are lots of papers online and here are a few I would suggest math.umn riskworx G. Dimitroff, J. de Kock Nowak, Sibetz I you have matlab there is an step step example to calibrate SABR model. Since it uses the financial toolbox of matlab for a few functions I dont think you can replicate it in any other language. There must be C++ code available ...


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This goes back to the so-called First Fundamental Theorem of Asset Pricing saying that markets are arbitrage free if and only if there exists at least an equivalent risk neutral measure. So the reason why we are using risk neutral measures to price options is because it allows us to represent discounted stock diffusions as martingales and therefore express ...


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The issue is what exchanges recognize as acceptable complex option orders. This is governed by FINRA margin rules like rule 4210 Brokers can only execute orders that are recognized by options exchanges. So what brokers can put on a single order ticket is limited. The most complex spreads defined by FINRA rules would be butterfly spreads, box spreads and ...


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This looks like a binary option. Following this wikipedia article it is called an "asset or nothing call". The pricing formula in the Black-Scholes world is $$ S e^{-q T} \Phi(d_1), $$ where $S$ is the current spot price, $q$ is the dividend yield, $\Phi$ the cdf of a standard normal and $d_1$ is as usual in BS. To my knowledge such options are much less ...


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Under the Black-Scholes framework, you can calculate the implied volatility, given the option's price, underlying's price, time to maturity and the risk free rate. To calculate the implied volatility you have to use a root finding method, since there is not a closed form of the inverse of the B-S option pricing equation for volatility. In the real world ...


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I've started thinking about this, too. My gedanken conclusion turned out to be too simple once I found what I was after: http://www.investment-and-finance.net/derivatives/o/option-beta.html, which I've confirmed in Black & Scholes (1973) p10 (eq 15). In short: $$ \beta_{\text{option}} = \frac{S\cdot\Delta}{O}{\beta_S} $$ where $S$ is the underlying ...


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I don't think that it has a name on its own, but you can write $$ (S_T - K + K)\,1_{S_T>K} = (S_T-K)_+ + K\,1_{S_T>K} $$ so it's a 1 call plus K binary calls. Binary are hard to hedge, the payoff looks like _|‾, going sharply from out-of-the-money to in-the-money. The delta changes fast and it's difficult to hedge the position. In practice, you give ...


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There is no such thing as "free" option data. This is free -->http://www.nasdaq.com/symbol/aapl/option-chain You could crawl that. But to get the actual ticks or intraday data, you will unfortunately have to pay. I strongly suggest you find a college business program that has option data ticks and reach out to them. Best of luck, JL


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For any data that is not strictly tabular and unchanging in schema, you should rule out SQL solutions. Option pricing fits that description in my experience, because high-liquidity stocks, currencies, or bonds, will have a far bigger set of strikes and maturities than lower liquidity instruments. Thus in a relational database you will have to have columns ...



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