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seen Sep 5 '13 at 10:49

Sep
4
asked Risk Neutral Evaluation - Exchange/Spread Options
Aug
23
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??
Aug
22
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?
Aug
22
awarded  Informed
Aug
20
comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices
@SRKX Ok. I will do that.
Aug
20
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?
Aug
20
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.
Aug
20
comment Black (1976) model: relationship between spot and forward prices
I've created a new post for this question.
Aug
20
asked Black (1976) model: boundary conditions with non-convergence of spot and forward prices
Aug
19
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??
Aug
16
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??
Aug
15
asked Black (1976) model: relationship between spot and forward prices
Aug
13
awarded  Student
Aug
11
awarded  Commentator
Aug
11
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%.
Aug
11
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)?
Aug
10
asked Electricity volatility smile
Aug
10
asked Black model - volatility estimation
Jul
22
comment How to calculate return rates with negative prices?
here is an example at EEX platform: eex.com/en/Market%20Data/Trading%20Data/Power/…
Jul
22
comment How to calculate return rates with negative prices?
some electricity markets allow energy prices to become negative. Although counter-intuitive, the justification is based on the fact that with steep demand variations, it becomes cheaper to the power generators to simply pay someone to consume the electricity than decrease the level of production or even to shut down the power plant.