# Questions tagged [payoff]

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• 239
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### Shout option payoff replication

I have not seen much talk about exotic options, and if they are actually traded. Is it possible to replicate the payoff of a ‘Shout option’ using standard European/American call and put options?
• 15
1 vote
90 views

### Why is the parity graph in Natenberg shifted up?

In chapter 4 of Natenberg's "Option and Volatility and pricing", he discusses how to draw parity graphs for option positions. These are defined as a plot of the intrinsic value of the ...
• 151
1 vote
85 views

### Calculating CDO pay-off

Background I got a model for the distance-to-default of an instution in a system of banks from the paper "An SPDE model for systemic risk with endogeneous contagion". Therein they postulated ...
• 161
1 vote
92 views

### Why should a seller of autocall (down out ones) cover gamma risk?

I wonder why sellers of Autocalls should cover the gamma ? The autocall I'm talking about is of this type : While the spot never goes below 70 % of the initial value, nothing happens. If it happens, ...
1 vote
57 views

• 170
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### Swap Fly PnL Payoff Question

Stuck on this payoff question. What is the PnL on 5s10s30s on a swap fly 10k 01, where the fly moves 8 to 26bp? Any ideas would be much appreciated.
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### What is a lookback rate put option

I've come across an option called a look-back rate put option. However, the source I got this from did not say what this is. I understand what a look-back put option is, but the rate bit is throwing ...
• 1
37 views

### Transform the payoff to be non-zero

Is there any way to transform the basic call option payoff $V(s,0) = \max(s-K,0)$ such that $g(V(s,0))\neq 0$ $\forall s$, where $g()$ is the transform function of the payoff. This is to use in a ...
• 233
What does the payoff diagram look like for a long payer swaption corridor? For example, suppose that I am looking at a long-payer $1 \times 10$-year swaption with 10Y swaps as the underlying. If I ...