# 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 $S2$ = ...
I'm trying to derive an approximation for the zero-rebate barrier option under the Heston model: $$dS_t=\mu S_tdt+\sqrt{v_t}S_tdW^S_t$$ $$dv_t=\kappa(\bar{v}-v_t)dt+\eta\sqrt{v_t}dW^v_t,\quad d\langle ... 0answers 250 views ### Callable Bond = long Bond - call on bond? Can someone verify (maybe there is some literature around) the following relationships? Callable Bond= Long on Bond + short on a Call Position --> PV(CallableBond) = PV(Bond) - Call on Bond? or ... 0answers 32 views ### What is a call-spread and its formula? I am attempting Mark Joshi's The Concepts and Practice of Mathematical Finance. In B.3 Project 1: Vanilla options in a Black-Scholes world, he asked the following question. We need to be sure that ... 0answers 346 views ### Black Scholes Replicating Portfolio Riskfree Asset Im having a question about this standard derivation of the Black-Scholes formula: http://www.soarcorp.com/research/BS_hedging_portfolio.pdf The paper states$$C=\Delta S+B$$and finally \Delta = ... 0answers 81 views ### Delta of an option in two cases Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité \sigma and maturity t: C(F,K,\sigma,t,r)  We assume that we know \delta \delta=\frac{\partial}{\... 0answers 29 views ### VaR of protfolio with put and call I've stumbbled into this question in a job interview and didn't know how to answer it: Calculate the VaR of a portfolio where you are long put and long a call 0answers 14 views ### Is there a name and/or calculation to get the break-even for calls compared to holding plain stock? I recently found myself in the position of wanting to buy some leap calls instead of stock to get more leverage, I tried to calculate the pricepoint at which the leaps were returning more than just ... 0answers 60 views ### Geometric brownian motion and probabilities A stock's price movement is described by the equations dS_t=0.02S_tdt+0.25S_tdW_t and S_0=100. An investor buys a call option on said stock with a strike price K=95 which expires in T=2 years. ... 0answers 41 views ### Binomial Model - completeness in presence of arbitrage Consider a uniperiodal binomial model where I buy one bond of value B_0 and rate r=0.1, and h stocks with price S_0=5. The value of the portfolio at time t=0 is$$ V_0 = B_0 + hS_0, $$... 0answers 191 views ### Higher Vega with ATM options when Spot is higher Which would have larger vega, an ATM call option at spot 100 or an ATM call option at spot 200. Apparently the answer is the one with ATM at spot 200. I am not sure how you get this answer. Why ... 0answers 68 views ### Different versions of Put-Call Parity Why is it stated sometimes that C - P = F and in wikipedia it statest that C - P = D(F-K), where D is the discount factor and K is the strike (of both the call and put?). Is this just affected ... 0answers 66 views ### how to understand the zero vol condition in Heston stochastic vol model I can't understand one of the boundary conditions in Heston's model:$$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 $v$ ...
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 ...