SRKX
Reputation
6,981
37/100 score
 Dec 1 answered How to price an option allowing to change a call into a put? Dec 1 comment How to price an option allowing to change a call into a put? When you say the value at time $t$, you mean the value of the "global option" right? if that's the case then your result say that if $S_t= S_t$, which means that is the call is out of the money at time $t$, this option is only worth a put? That can't be right can it? Isn't there an expectation missing around all this? Nov 30 accepted How to use a change of numeraire to price this option? Nov 30 accepted What is the correlation between these two functions of GBMs? Nov 30 comment How to price an option allowing to change a call into a put? Ok but didn't you write $\max(a,b) = b + \max(a,0)$ there? Nov 30 comment How to price an option allowing to change a call into a put? How do you get from line 1 to line 2? Both values should be positive because of the extrinsic value right? Nov 23 comment How to price a path dependent exchange option using? Interesting approach I wonder if you get the same result as @Gordon though. However, the is the portfolio self-financing there, I mean you do have to pay for $S_0 - P_0$ it does not change the result though? Nov 23 revised How to price a path dependent exchange option using? added 29 characters in body Nov 22 comment Why do volatility and correlation increase in times of crisis? I sincerely doubt somebody can answer this concisely as this is broad and probably somehow opinion-based. Let's see. Nov 22 comment How to price a path dependent exchange option using? I know you did most of the job here, but I'd really love to see the example go on until the close-form assuming a lognormal. But I guess that's just long a tedious algebra to get the value of the expectation given the joint distribution of $S$ and $P$ right? Or maybe you define $Z_t=\frac{S_t}{P_t}$ which is also a GBM and which should help already. Nov 22 revised How to price a path dependent exchange option using? added 20 characters in body; edited title Nov 22 revised How to use the stock as a numeraire to price a derivative with payoff of the form $(S_T f(S_T))^+$? deleted 22 characters in body; edited tags; edited title Nov 22 revised Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$? deleted 15 characters in body Nov 18 comment How to get to this answer on Macauley duration? @AlexC I think he's looking for a more detailed answer on that point. Nov 18 revised How to get to this answer on Macauley duration? added 45 characters in body; edited tags; edited title Nov 12 comment What can I use to measure of diversification? Could you please be more specific to the article you're referring to? adding title and a link maybe? You can even show the formula here. Nov 12 comment What can I use to measure of diversification? It's note clear to me what you mean by "diversification for trade". What do you mean by "trade"? It's certainly just a question of terminology, but to enhance the quality of the question, could you please add an example? Nov 12 comment What can I use to measure of diversification? Yeah although it's not specifically mentioned in the question but kind of obvious. Nov 12 comment What can I use to measure of diversification? VaR usually stands for Value-At-Risk, I believe the most appropriate and natural convention is $\sigma_j$ to stand for the standard deviation of asset $j$.