# Questions tagged [call]

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### Greeks of a Basket Option

I want to estimate delta, vega and gamma for a basket option. This option is a European Call option. The underlying is $S=\omega_1 S_1 +\omega_2 S_2$ Where: $S1$ = stock price of asset 1 $S2$ = ...
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### Callable Bond = long Bond - call on bond?

Can someone verify (maybe there is some literature around) the following relationships? Callable Bond= Long on Bond + short on a Call Position --> PV(CallableBond) = PV(Bond) - Call on Bond? or ...
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The characteristic function of $x=ln(S_T)$ in the framework of Heston model is guessed to be: $$f_j(\phi,x,v)=e^{C_j(\tau,\phi)+D_j(\tau,\phi)+i\phi x}$$ The call price is guessed to have the form: $$... • 21 1 vote 0 answers 257 views ### Call probability of a callable swap For one call date, The call probability is just the probability that the swap rate for the remaining life of the swap is below the strike rate. This is easily obtainable in a normal vol model, it is : ... • 11 1 vote 0 answers 107 views ### local volatility not reasonable We are going to generate synthetic option prices using a Heston model, i.e.,$$ \begin{gather*} dS_t = \sqrt{v_t} S_t dZ_t,\\ dv_t = \lambda (\mu - v_t) d_t + \eta \sqrt{v_t} dW_t, \end{gather*} $$... 1 vote 0 answers 144 views ### Replicating call option in market which only trades stock and forward contracts I am having a bit of trouble with a problem I've been given. Consider a market which only trades a stock and forward contracts. There's only time 0 and 1. Initial stock price S_0 is 10, the forward ... • 11 1 vote 0 answers 514 views ### Heston Model Calibration with MatLab: model prices do not fall in the bid-ask range I am currently implementing the MatLab code reported below for the calibration of Heston Model. The code seems fine and, by reading the paper where I took the code, I was able to calibrate and price ... 1 vote 0 answers 104 views ### What is a call-spread and its formula? I am attempting Mark Joshi's The Concepts and Practice of Mathematical Finance. In B.3 Project 1: Vanilla options in a Black-Scholes world, he asked the following question. We need to be sure that ... • 840 1 vote 0 answers 76 views ### Binomial Model - completeness in presence of arbitrage Consider a uniperiodal binomial model where I buy one bond of value B_0 and rate r=0.1, and h stocks with price S_0=5. The value of the portfolio at time t=0 is$$ V_0 = B_0 + hS_0, $$... • 111 1 vote 0 answers 601 views ### Black Scholes Replicating Portfolio Riskfree Asset Im having a question about this standard derivation of the Black-Scholes formula: http://www.soarcorp.com/research/BS_hedging_portfolio.pdf The paper states$$C=\Delta S+B$$and finally \Delta = ... • 5,795 1 vote 0 answers 86 views ### Delta of an option in two cases Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité \sigma and maturity t: C(F,K,\sigma,t,r)  We assume that we know \delta \delta=\frac{\partial}{\... • 77 0 votes 1 answer 46 views ### Obtain B-S-M from a binomial tree as n goes to infinty using Lebesgue integral My question is simple, consider a European call with payoff max(S_T-K, 0), Let's suppose that the underlying stock follows a binomial tree with up and down factors I know as we take n goes to infinity ... • 1 0 votes 0 answers 75 views ### Can the Feynman-Kac formula be used for asset classes that don’t have options? So rather than a call option C(S_t,t) we have some type of asset with asset price is given by S(x,t) where x is any type of variable that the asset price depends on. I.e Price of wooden desks, W(x,t) ... • 45 0 votes 0 answers 81 views ### What can we say about digital puts and calls with different strike prices? I am a noob to the field of quantitative finance. I am reading this book by Mark S. Joshi. Can you help me make sense of one of the exercise questions? Here is the question (from page 40 of the book): ... • 153 0 votes 0 answers 164 views ### Payoff of barrier options I was reading a research paper recently and the author defined payoffs of Up-and-Out and Down-and-Out barrier call options as max[0, ST - K]I(m < H) and max[0, ST - K]I(M > H) respectively. K is ... • 23 0 votes 0 answers 43 views ### Deterministic optimal call time Consider a American Option on a linear payoff i.e., if called at time T, it pays off S(T), the stock price. Is the optimal call time of such an option determinsitc? Is there an intuition to the ... • 2,045 0 votes 0 answers 49 views ### VaR of protfolio with put and call I've stumbbled into this question in a job interview and didn't know how to answer it: Calculate the VaR of a portfolio where you are long put and long a call 0 votes 0 answers 115 views ### Geometric brownian motion and probabilities A stock's price movement is described by the equations dS_t=0.02S_tdt+0.25S_tdW_t and S_0=100. An investor buys a call option on said stock with a strike price K=95 which expires in T=2 years. ... 0 votes 0 answers 340 views ### Higher Vega with ATM options when Spot is higher Which would have larger vega, an ATM call option at spot 100 or an ATM call option at spot 200. Apparently the answer is the one with ATM at spot 200. I am not sure how you get this answer. Why ... • 2,492 0 votes 0 answers 152 views ### Different versions of Put-Call Parity Why is it stated sometimes that C - P = F and in wikipedia it statest that C - P = D(F-K), where D is the discount factor and K is the strike (of both the call and put?). Is this just affected ... • 2,492 0 votes 0 answers 76 views ### how to understand the zero vol condition in Heston stochastic vol model I can't understand one of the boundary conditions in Heston's model:$$c(t,s,0) = (s-e^{-r(T-t)}K)^+ Why the current vol is zero can deduce such result. here $c(t,s,v)$ $s$ is current price and $v$ ...
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I am trying to price a cash or nothing call option and I know know that the Cash or Nothing formula for a call option is $C(t,s)=Xe^{-r(T-t)}*N(d)$ If I have payoff X=100 r=0.03 T=2 $\sigma=0.3$ I ...