Questions tagged [options]

A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.

1,206 questions
46 views

Convert long/short stock portfolio into one sector ETF position

Assuming a portfolio contains long and short positions in stocks that are in the same sector, is it possible to create a similar overall position using only the sector ETF to which the constituents ...
248 views

fx vanilla option's forward delta in single currency

According to Black formula , a vanila fx call option's pricing is $$C(F,\tau) = D[N(d_+)F - N(d_-)K]$$ , where $\tau$ is the time to expiry, $D =e^{-r\tau}$ the discount factor, $F=S/D$ the outright ...
61 views

What vol to use when implying strike from delta?

I have a set of implied vols in delta space and want to derive for each delta the corresponding strike. I understand the procedure, but I am not sure what implied vol I should use, whether this has to ...
113 views

Volatility scenario generation for value-at-risk

I have the following problem: For a single name plain vanilla equity option calculate 1y VaR for given confidence level. Is there any state-of-the-art or current market practice known on how to ...
107 views

Upper bound option price in volatility dimension

All, I have a theoretical question about the value of an option when spot price goes to infinity as a function of volatility going to infinity. I know that for a call option: The option value ...
42 views

Difference end-of-day price and closing price of option

Is there a difference between end-of-day prices of an option (e.g. Barclays VXX) and the closing price of that option? If so, what is the difference. I cannot find anything clear about this anywhere, ...
170 views

SABR PDE spot/forward upper boundary condition implementation

When running my Finite Difference code, I observe something odd. Although implementing a classical (non-reverting) SABR model, I initialized the variables such that it should be equal to Black-...
89 views

Pricing an option with sparse data, high underlying volatility and returns

I'm currently pricing American and European options on an underlying with sparse data (interpolated), high annual volatility and returns over the last year around 300%. The product isn't similar to ...
43 views