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# 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.

306 questions with no upvoted or accepted answers
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0answers
164 views

### How to calculate implied borrow rates from option chain information?

I am given information about a ticker with following options data: stock price, date, expiration date, strike price, call / put indicator, style (American or European), ask price, bid price, mean ...
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### Problems with a Black-Scholes modified equation

I haven't really studied much financial mathematics until about 2 months ago so I'm quite new to this stuff, so I'm sorry if this is a trivial question. At the moment I'm trying to work out what the ...
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### Capital increase: which stock price to use as input to Black-Scholes formula?

For an exercise we have to calculate the theoretical value of a scrip / preferential right on its issue day (23 April) in the context of a capital increase. The scrips are issued on 23 April. The ...
0answers
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### Equity protection and butterfly certificates pricing

Certificates issued by famous industry names are usually made up by a combination of a fixed income instrument and some vanilla and exotic options. I am looking for something which explains: how to ...
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### What is the highest frequency greek for options on futures on bonds?

I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
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258 views

### Tian third moment-matching tree with smoothing - implementation

I was wondering if someone has an implementation of the Tian third moment-matching tree (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1030143) with smoothing in code (e.g. c++, vba, c#, etc.)? ...
1answer
268 views

### Under what circumstances Veta is positive?

In general, as the option moves towards expiry, its vega is decreasing. Are there circumstances where the veta, i.e. the sensitivity of vega with respect to time, is positive, that is when vega is ...
2answers
244 views

### Pricing options under a specific framework

I have a specific framework in mind and I would like to value options under this framework. I am not sure whether a closed form solution exists or Monte Carlo methods would work. The framework I have ...
1answer
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### Are vega vanna volga methods/models used in equity derivatives or only in FX and why?

Vega vanna volga models seem to be popular is the FX derivatives market and are often calibrated via 25 delta risk reversal, vega weighted butterfly, and ATM straddle quotes. I am wondering if they ...
0answers
32 views

### Log Contracts on Equities

Are log contracts on (e.g) equities traded a lot in the market? I have seen that a lot of it is described for volatility modelling in bergomi's book. what is the liquidity of such options?
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### option model value vs market price

In my job as FX trader we use as option pricer a variant of B&S. We use that model for “accounting” purpose, i.e. for storing the daily P&L of the portfolio, and also for control the trading ...
0answers
31 views

### B-S derivative with another boundary condition

I want to use the derivation of BS for another type of derivative, not an option. Known the derivation of the Black-Scholes differential equation, is it possible to use in the same equation when my ...
0answers
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### Price moneyness vs spread moneyness for credit index options (CDX HY)

Is spread moneyness equivalent to price moneyness for volatility surfaces of CDX HY? In other words, is the ISDA converter a linear transformation? I have market data that I need to convert to input ...
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51 views

### Black-Scholes vs Blacks model. Which one to use with SABR?

Say I want to compute a call price for a given set of SABR parameters. I use Hagans approximation and compute $\sigma_B$. The rate is not zero. Should I then compute the option price using Blacks ...
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### Generalisation of calendar arbitrage condition to options on futures

This question has discussed the condition on which calendar arbitrage opportunities arise for European call options on a stock. Do similar criteria exist for European options on futures? The most ...
0answers
68 views

### What is the cause of a “broken” volatility surface?

I am currently working on a project for which I need the implied volatility surfaces, to estimate the value of plain-vanilla European options with different strikes (cannot be observed directly in the ...
0answers
31 views

### Why do simulation schemes have difficulty in pricing options with low spots?

If you apply a simulation Scheme (log-Euler discretization, Euler discretization and even more advanced ones) on for instance SABR and other models, then they price a call option (where we can easy ...
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### Log Contract payoff function

I can’t get where Dr. Rouah gets payoff function of log contract. Could you please take a look at that? https://frouah.com/finance%20notes/Variance%20Swap.pdf It’s on page 2, section 3. I couldn’t ...
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24 views

### How to calculate a prepayment penalty on a mortgage

I have issued 2 mortgages...one with an option to prepay the loan, the other without that option. I want an objective way of calculating the extra interest rate (compared to the second) and ...
0answers
20 views

### Pricing a transfer option for oil

Need some input in how to attack this problem. Given are 8 timeseries: UK Oil price, Delivery Quarter 1 2020 UK Oil price, Delivery Quarter 2 2020 UK Oil price, Delivery Quarter 3 2020 UK Oil price, ...