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Questions tagged [call]

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6
votes
0answers
621 views

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 $S2$ = ...
4
votes
0answers
89 views

Zero-rebate barrier option pricing under the Heston model

I'm trying to derive an approximation for the zero-rebate barrier option under the Heston model: $$dS_t=\mu S_tdt+\sqrt{v_t}S_tdW^S_t$$ $$dv_t=\kappa(\bar{v}-v_t)dt+\eta\sqrt{v_t}dW^v_t,\quad d\langle ...
2
votes
0answers
189 views

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 ...
1
vote
0answers
64 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 = ...
1
vote
0answers
79 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}{\...
0
votes
0answers
205 views

Skew vs Normalised Skew

In this paper, https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that, SPX Implied Normalized Skew: (25D Put IV - 25D Call IV)/(...
0
votes
0answers
111 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 ...
0
votes
0answers
48 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 ...
0
votes
0answers
58 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 $v$ ...