5
votes
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How to create a synthetic put?
As you can see from the wiki page, the delta of a put is
$$\Delta = -e^{-qT}N(-d_1)= -e^{-qT} \left(1-N(d_1)\right)$$
Recall that this $\Delta$ is the derivative of the value of the put $p$ with ...
- 11.1k
3
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Is there a way of synthetically deleveraging a Real Estate portfolio?
The process of setting aside an amount to pay off debt (without actually paying down debt) is known as "defeasance." This can be achieved by setting up an escrow account or other bank account, where "...
- 454
3
votes
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Dealers becoming synthetically short an out-of-the-money option
Here's one scenario: dealer is long a deep in the money American put (say strike is K and the current stock price is S < K ), versus being short a european put with the same strike and final ...
- 17.1k
2
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Dealers becoming synthetically short an out-of-the-money option
Here's the example of what is in the quote: dealer is long an ITM call. As a hedge the dealer is also short OTM put (with the same strike) and short stock. This is a "riskless" position, equivalent of ...
- 2,553
2
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Constant maturity futures price methodology
What you are doing in the formula is just linear interpolation. This is probably fine, if there was some hindrance such as a seasonality effect, the market would probably contain a contract at that ...
- 523
1
vote
Accepted
Simple Blockbootstrap instead of CircularBlockBootstrap
The arch package have time-series bootstrap methods:
The arch package in Python have implemented the stationary (block) ...
- 4,276
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Create a Synthetic Single Stock Future
If you mean, write a put and buy the stock, pretty sure the answer is no. If the stock price tanks, well below the strike, you will have lost twice (on the stock and the put). Ie, your delta will be 2,...
- 701
1
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Papers on synthetic options
As mentioned in the comments, you will most likely not find much literature on simple synthetic positions such as the synthetic long stock. This is simply a way to obtain a highly leveraged version of ...
- 704
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Construction of synthetic deposits
I figured out that the correction term should not be $\alpha\cdot\delta + \beta\cdot\delta^2/2$ but rather $\alpha+\beta\cdot\delta/2$.
- 151
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synthetic currency pair
Yes, that's correct:
Formula 5.2
(FCa / FCb)ask = (FCa / DC)ask ×(DC/FCb)ask
(FCa / FCb)bid = (FCa / DC)bid ×(DC/FCb)bid
Where FCa and FCb are the two foreign currencies and DC is the domestic ...
- 338
1
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synthetic currency pair
You can see how to calculate cross currency rates at FX and MM training
disclaimer I authored the page
- 1,156
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