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And don't forget that there are wrappers as eq RQuantLib which I use on the command-line here: edd@max:~$r -l RQuantLib -e 'print(EuropeanOption("call", 47, 40, 0.05, 0.0, 4/12, 0.2))' Concise summary of valuation for EuropeanOption value delta gamma vega theta rho divRho 6.4728 0.8899 0.0307 4.5139 0.7372 ... 5 To add to Student T's answer, which I second: the complex setup starts making sense (and its cost gets amortized) once you start keeping the instruments around instead of throwing them away after the pricing. For instance, once the option above is built, you can change the market price of the underlying (or its volatility, or the risk free rate) by just ... 2 These options are not "issued" in the same way, say, employee stock options are "issued". Instead, the expiration months already exist indefinitely into the future, and in a sense options at all expirations already exist. The data series therefore start showing prints when market interest in a given expiration date starts up. This is of course highly ... 9 I've been using QuantLib for quite a while. Let me share some experience: QuantLib is a highly sophisticated quantitative framework. It can do much and much more than a simple pricing of European option. For example, in your example, you could have changed the payoff to binary payoff or giving a monte-carlo pricing engine (rather than ... 0 Everyone is giving the same type of answer..here is a different perspective. Put call parity can actually be violated in special cases where a positive drift is established ,which is equal , mathematically speaking, to reflected Brownian motion about some floor value. I've seen a few options that have a risk-free profit that exceeds the interest rates. For ... 0 the futures payoff, at the option expiry date is not St-F0. the futures payoff at the option expiry date is Ft-F0. note that Ft<>St since note that the futures will expiry AFTER the option expiry. the reason this is the futures payoff is because the money in the futures margin account earns zero interest, and by payoff, we mean the money in the margin ... 2 Most practitioners think of option prices in terms of implied volatility. It is easier to interpret and to model. One can consider the implied volatility surface as a random field :$\Sigma : \Omega \times \mathbb{R}_+ \times \mathbb{R}_+ \to \mathbb{R}_+$and apply PCA. The first 3 eigenmodes correspond to absolute level (ATM vol), slope in the strike ... 1 Futures payoff is indeed$S_t-F_0$, but the$t$in question is the maturity date of futures. In this derivation$t$denotes maturity date of the option, which is always before the futures maturity. Therefore, on the day of option maturities, the futures did not expire yet, but the value of the futures position is$F_t-F_0$(in mark-to-market sense, you can ... 2 For portfolios comprised of instruments in the U.S., Britain or other countries with fairly low credit risk to the government, this is traditionally done by trading various maturities of treasury bonds. A simple technique is to divide your portfolio instruments into "buckets" of duration, say 0-2, 2-5, 5-10, and 10+ years. Then, you sum up the exposure in ... 0 Note that the vega you derived is called the local vega. However, the vega people usually called is the term vega which is the sensitivity with respect to the changes in the Black's implied volatilities, for which you will need to have the relationship between the local volatilities and the implied volatilities. 0 I think the best you may be able to do here is creating your own unique identifier in your code based off underlying, maturity date, put or call, and strike price, and then match the two data sources on that key. The only identifier Bloomberg seems to have for options on futures is their FIGI number, and I'm doubtful that Reuters supports that. Here's an ... 3 "Intuitively, everything else being equal, if a stock has higher drift, shouldn't it have higher probability of finishing in-the-money (and higher probability of having higher payoff), and the call option should be worth more?" All these other answers are focusing on the wrong aspect of the question - it is true that the maths makes the drift drop out from ... 0 You need to value your option by using any of the known methods. And then add a spread that will value the risk and the unknown volume. This also take us to the point that it will be traded over the counter. That means that will be a bilateral agreement with the two counterparties. What I will do is value it with a similar process to valuing a swaption, ... 1 I don't have a huge amount of market experience, but I have traded heat rate options at a merchant generation company and at an investment bank. First off, I disagree Sid Jacobson's answer. Or at least I have never seen a contract with those settlement terms trade. Those terms are, for a heat rate call, eg, final settlement: C = P/G - K, which = P/G - HR, ... 1 You need to check them individually and understand how option pricing works. Then you will realize that you want to sell 2 put options Deeply in the money(cheap to buy), buy one call option At the money (a bit expensive) and finally buy an "Out of the money" call option (cheap). So you are trying to finance something a bit expensive by selling something ... -1 This portfolio clearly doesn't have value of$0$at$t = 0$. Ignoring the fact that you seem to have confused payoffs of option strategies and the value of a portfolio of options, even the payoffs themselves as given here will have state where the payoff is nonzero (i.e.$S_T \in [100,110]\$). This by itself ensures that no matter what model you use for asset ...