Questions tagged [european]
The european tag has no usage guidance.
34
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Analytical formula for discounted exposure of a European Put on a stock in Real-World measure
Is there an analytical formula to approximate the discounted exposure for a European Put on a Stock in the Real-World measure? This is just an initial phase to be able to assess the accuracy of using ...
0
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0
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38
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Equality between ECB and IBMM rates
Regarding European Interbank Money Markets, at the beginning of each month, when the ECB performs LTRO operations, whereby it lends for a 3-month period, shouldn't the 3-m Euribor exactly match the ...
0
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0
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149
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Fama French Factor Loadings for European Markets
I am working on a paper where I have to check how changes in ESG scores relate to stock returns. My sample firms are mostly from European markets(eg. STOXX 600 index) and I need to adjust Fama French ...
0
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0
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46
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Where to find Historical price data (csv preferable) for global Gov bonds and markets. All dollar denominated?
I'm doing a lengthy backtest on a certain portfolio and i've managed to get FTSE 100 data going back to 05-30-1990, where could I find data for global Government bonds going back to that date?
A csv ...
-2
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1
answer
94
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Pricing a European call option that has one underlying asset to compare with strike but 2 underlyings as payout
This is a real world problem and not a research one.
We are being proposed to buy an option that has to be exercised on a specific date T. So it is a European option.
This option has a strike price of ...
2
votes
1
answer
120
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Single period risk-neutral probability derivation
Let $S_u$ be the price of stock in the up-state one period from now. Let $S_d$ be the price of the stock in the down state.
Let $C_u$ be the payoff of a call option at time $1$ in the up-state and ...
0
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0
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45
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Where to retrieve financial data? [duplicate]
I am struggeling finding an updated list of free sources for historical financial data. My main interest is for intraday european stock markets data and companies' fundamentals data, but it would be ...
0
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2
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620
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What is the delta of an at-the-money European call option with respect to volatility?
Question: What is the delta of an at-the-money European call option with respect to volatility?
Note that
$$\frac{\partial\Delta}{\partial\sigma} = N'(d_1) \frac{\partial d_1}{\partial\sigma} = N'(...
3
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3
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3k
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Explain that gamma is positive for standard call and put options without using heavy mathematics
Gamma is positive for any standard put and call options seems like a standard fact.
A proof can be found in this post.
However, the answer provided in that post involves heavy mathematics.
Is ...
1
vote
1
answer
48
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Do not understand 'The gain (loss) on the stock position would then tend to offset the loss (gain) on the option position' [closed]
Currently, I am reading John Hull's Options, Futures and Other Derivatives. On page 401, the author mentions the following:
Suppose that the delta of a call option on a stock is $0.6$, stock price ...
2
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1
answer
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If the volatility is zero (i.e. σ=0), what is the call worth? After valuing the call, how to hedge the call (assuming you sold it)
Question: All Black-Scholes assumptions hold. Assume no dividends. The stock price is $100. The riskless interest rate is 5% per annum. Consider a one-year European call option struck at-the-money (i....
1
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0
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96
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Cox-Ross-Rubinstein - getting volatility
i have exam coming on financial engineering, and need help asap with this thing.
Basically there's a European put option ex dividend. We know that the stock price is $S_t = 85$, the exercise price is $...
0
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0
answers
177
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Where can I get alerts for future delisting of stocks/ETFs?
I scan / trade a universe of 1500 different European and US stocks and ETFs trading on many different exchanges.
I would like to get notified before any of the tickers are delisted, so I can sell ...
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1
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372
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Historical data on EUA Futures (Intraday, 15 minutes) from 2008
I'm actually working on carbon markets.
Anyone knows where I could find EUA (european union allowances) futures prices intraday (15 minutes) from 2008 until now for free?
Thank you for your help
2
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2
answers
284
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European vs American derivative securities, interesting question
Let us denote by $c^A(t, S(t))$ the price, at time $t$ of a certain American-style derivative security, whose instrinsic value, at time $t$ is denoted by $V(t)$.From the no-arbitrage principle, we ...
6
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2
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10k
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Derive vega for Black-Scholes call from this formula?
Is it possible to get the right formula for vega of a call option under the black scholes model from this formula?
$$\frac{\partial{C}}{\partial{\sigma}}=\frac{S_0}{\sqrt{2\pi}}{e^\frac{-d_+^2}{2}}(\...
3
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1
answer
345
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Butterfly spread model price
Consider a butterfly spread with strikes $K_1, K_2, K_3$. My professor wrote the model price, $V$, was equal to the following:
$$V = exp(-rT) * P(K_1<S_T<K_3) * (1/2) \Delta K$$
where $\Delta K ...
0
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1
answer
99
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Finding circumstances for price of call = price of put
Here is a problem in Hull's book and the given solution:
My approach was to compute the profit $\pi = \pi_{SP} + \pi_{LC}$ (short put, long call).
One can show that $\pi = \pi_{SP} + \pi_{LC} = S_T -...
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4
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Model Price vs Market Price in terms of Fair Price (Options)
Before I start: Ok, this is something I investigated for a fair amount of time and my question is semi-academic. To simplify, I will introduce the short bit (TLDR) of my question and then lay out ...
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0
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Financial Derivative, European Option [closed]
Market Prices for European put and call options on ABC stock are as below:
Call = $4.5
Put = $6.8
Exercise Price, X =$70
Risk Free Annual Compounded rate r = 5%
Time to expiration T = 139 days
...
1
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2
answers
560
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European call down and out option (geometric Brownian motion, Monte Carlo, Euler)
I need to estimate the expected value and the Greeks of an European call down and out option, assuming geometrical Brownian motion of the asset, with Monte Carlo simulation employing Euler ...
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1
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Calculate put price with Black-Scholes and one discrete dividend
I try to solve this exercise:
a) Calclculate the price of a 3-month European put option on a non-dividend-paying stock with a strike price of 45 when the current stock price is 40, the risk-free ...
3
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1
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2k
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Value of European Call equals Value of American Call, Question on Explanation/Proof
I am reading S. Shreve, Stochastic Calculus for Finance, Vol. I. There he proves that American Call Options have the same value as European Call Options. In the proof he uses that for a Call option ...
9
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4
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What does it mean to be "long or short in volatility"?
I've heard a question regarding pricing of european calls. The question is:
Is the call long or short in volatility when it is (deep) OTM? What is
the profile of the implied volatility?
I know ...
1
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1
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451
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What does NPV ASSENTED after stock name mean?
For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
8
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4
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Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options
The asset-or-nothing European option pays at t = T the value of the stock when
at time T that value exceeds or is equal to the exercise price E, and nothing if
the value of the stock is below E. So, ...
4
votes
1
answer
372
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Literature on Empirical Option Pricing
When I started combing through the literature I was astonished about how little the option pricing models are tested against market data and benchmarks are limited. The main barrier is of course ...
2
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1
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295
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Where can I buy historic raw order by order data for Euronext market?
I cannot find any vendor that sell the full depth order by order data historically.
I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
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3
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Divergence between binomial pricing and monte carlo simulation for vanilla european call?
I notice a divergence in my own code, but it's evident even in public code:
http://www.thalesians.com/finance/index.php/Knowledge_Base/Finance/Option_Pricing_in_Python_and_Simple_English
Pricing a ...
3
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1
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2k
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Does Implied Volatility always exist?
I am considering a simple Heston Model Market with one risky and one riskless asset.
The dynamics of the riskless asset is simply $dB_t=r*B_t*dt$
The dynamics of the risky asset is as follows,
$ ...
2
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2
answers
3k
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fair price for a call option
I am struggling with the following problem:
An investor is considering a European call option, whose price $C_0$ is yet to be determined, on the shares of a company called XYZ. You know that :
the ...
6
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342
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How to become a registered market maker on an exchange [closed]
We are thinking of applying to become a registered market-maker on different European exchanges. The name varies from exchange to exchange (Liquidity provider on Euronext for instance).
Could anybody ...
2
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2
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892
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List of 2008 NACE Rev 2 codes
Am looking for a simple list of the NACE 2008 rev 2 codes (The European classifications for economic sectors). The official publication is here, but is there an easily accessible list of the actual ...
3
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0
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Discount of Asian vs European vols
I understand the discount for Asian vs. European vol depends on time to expiry and length of averaging period. This makes sense intuitively; a short averaging period far away blurs into a single ...