Joao Serafim
Reputation
Top tag
Next privilege 50 Rep.
Comment everywhere
 Mar4 awarded Popular Question Sep4 asked Risk Neutral Evaluation - Exchange/Spread Options Aug23 comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices @MattWolf, I get it now. So, basically we can apply the Black model framewrok provided that we know the relationship between spot and forward prices that gives convergence, right?? Aug22 comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices @MattWolf: I'm sorry but I'm getting a little bit confused. I'm going to reformulate my question. For example, in the context of stock markets, the price for an european call option on futures is given by the previous $C$ expression. Now let's imagine we are going to study another market and in this market the relation doesn't hold. Is it possible that the price of the options (in that new market) is still given by the exact $C$ expression? Aug22 awarded Informed Aug20 comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices @SRKX Ok. I will do that. Aug20 comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices I see. But if we have the Black formula $C=\exp(-r(T-t))(FN(d_1)-KN(d_2))$, does this mean we are assuming the relation $F(t,T)=S(t)\exp(r(T−t))$ is verified? or can we get the exact same expression for C without using that relation? Aug20 comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices @MattWolf: I probably mislead you with the title. Imagine we have convergence but $F(t,T)=S(t)\exp (r(T−t))$ does not hold. From what was told to me, we can still apply the Black model. Therefore, I want to know how can we specify yhe boundary conditions. Aug20 comment Black (1976) model: relationship between spot and forward prices I've created a new post for this question. Aug20 asked Black (1976) model: boundary conditions with non-convergence of spot and forward prices Aug19 comment Black (1976) model: relationship between spot and forward prices I see. I have another question relted to this subject. Let's suppose we have a future contract F in a market where the relation F(t,T)=S(t)er(T−t) doesn't hold. What are the the boundary conditions for the drivation of the Black formula?? Aug16 comment Black (1976) model: relationship between spot and forward prices when you mention the asset price probability distribution, do you mean, in this case, the underlying futures contracts or the the underlying asset of the futures?? Aug15 asked Black (1976) model: relationship between spot and forward prices Aug13 awarded Student Aug11 awarded Commentator Aug11 comment Electricity volatility smile basically that means that possibly we can find both behaviors (correct me if I'm wrong). This question arose due to the impact of the interest rate on the shape obtained. For example using r=0.2% (an unnusual value but close to our economic reality) instead of r=2%. Aug11 comment Black model - volatility estimation yes, in theory the unit of time shouldn't matter. However, if we ignore that fact usually we use the annualized volatility right? can we get big differences if we simply use the standard deviation of the daily returns (without adjusting the time scale)? Aug10 asked Electricity volatility smile Aug10 asked Black model - volatility estimation Jul22 comment How to calculate return rates with negative prices? here is an example at EEX platform: eex.com/en/Market%20Data/Trading%20Data/Power/…