Questions tagged [payoff]
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17
questions with no upvoted or accepted answers
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Pricing of strange Asian lookback option with European-style payoff $\max\{ \max_{u\in[0,T]}S_u-\frac1T\sqrt{\int_0^TS_t^2\mathrm{d}t},0\}$
I am trying to price the Asian lookback option at time $t$ with time-$T$ (European) payoff $\max\{M_T-A_T,0\}$, where $$M_t=\max_{u\in[0,t]}S_u,\quad A_t=\frac1t\sqrt{\int_0^tS_u^2\mathrm{d}u},$$
and $...
- 609
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0
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Black-Scholes market and payoff with integrals
I am struggling with the following exercise:
Prove that on Black-Scholes market, with some parameters $r, \mu, \sigma >0$,
a payoff
$$X=\int_{0}^{T}\ln \frac{S_t}{S_0}\mathrm{d}t+\frac{1}{\sigma}\...
user47393
3
votes
0
answers
130
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Pathwise sensitivities of American options - Derivative of the American payoff function
How can I compute the derivative of the payoff function for an American put option?
In the paper "Smoking adjoints: fast Monte Carlo Greeks" by Giles and Glasserman (2006) they compare two ...
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3
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138
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What is the dynamic of the forward price process under $\mathbf{Q}$?
Let me define the Spot price process of an underlying as follows: $$dS_{t}=\mu_{S}S_{t}dt+\sigma_{S}S_{t}dW_{t},$$
where $\left(W_{t}\right)_{t\geq0}$ is an appropriate Wiener-process, so $\left(S_{t}\...
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79
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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 ...
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68
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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 ...
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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, ...
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1
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0
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57
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Wheres is this method/notation of option portfolio payoff design from?
The "desired position" in the image is a set of slopes $(0,1,-1,0)$, and a set of strike prices between these slopes $\mathbf{K}=(98,100,102)$.
The payoff is then designed by finding the positions $...
- 445
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1
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65
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YYIIS Inflation swap chapter 16 of Brigo's text
Are there errata in the Brigos's text of Interest Rate Models in chapter 16 when it is defined the YYIIS payoff? In formula (16.3) is defined Party A's payoff as:
\begin{align}
\\
N\psi_i\left[\frac{I\...
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75
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Does settlement method of an instrument affect its payoff?
A stock in foreign market with the fx dynamic (in foreign measure) as the followings:
$\begin{align} dS_t &= r_f S_tdt + \sigma_s S_tdW_t^s \\ dF_t& = (r_d-r_f)F_tdt + \sigma_F F_tdW_t^F \\ ...
- 180
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97
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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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32
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Measurability of contingent claim in State-variable approach
I'd like to know, if we have the filtrations $\mathbb{F}$ and $\mathbb{G}$ with $\mathcal{F}_t\subset\mathcal{G}_t\subset \mathcal{F}_t\vee \sigma(\eta)$, for $\eta$ being independent of $\mathcal{F}_\...
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47
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Prices and returns
I want to convert the payoff of an Asian and a lookback Call option with prices in their corresponding with returns. Example: for an European Call $\varphi(S_T)=(S_T-K)^+$, so knowing that $S_T=S_0(1+...
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97
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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 ...
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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 ...
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1
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Swaption Corridor Payoff Diagram
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 ...
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-1
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1
answer
204
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conservative approach payoff table
With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)?
...
