# Questions tagged [pricing]

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### formula for pricing bond-futures

Is anybody able to help me understanding why does $P_t(S)$ appear in the solution to the following problem; deriving the price of bond forward contracts? Thank you Given: $r_t$, the instantaneous ...
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### Interest Rates Options: can't reproduce market premiums given volatilities and discount curve

I have a range of premiums and normal (Bachelier) volatilites quotes across several strikes and maturities for caps and floors and trying to figure out why I cannot reprice them given the discount ...
66 views

### Multi-stage dividend discount model using financial calculator

Instead of the wrote formula approach, this analyst shows that such problems can be decomposed into their cash flows at different points in time, which enables us to use ...
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### Can the unique payoff(described in question) be priced with touch/no touch derivatives?

The code below shows how to price a double no touch option in MATLAB: ...
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### Why can’t delta’s be used to price double no touch options?

Here is the link to a MATLAB one touch option pricing calculator I used:OT I tried several inputs and I noticed that the one touch option price is approximately twice the delta of an equivalent ...
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### Closed form expression for $\Bbb E(\mathbb{I}_{\{S_{1,T}>S_{2,T}>K \}})$

Is it possible to calculate analytically $\Bbb E(\mathbb{I}_{\{S_{1,T}>S_{2,T}>K \}})$, using the 2-dimensional normal probability function $\Phi_2$, where $S_{1,T}$ and $S_{2,T}$ follow ...
221 views

### Option pricing using characteristic function

I'm currently on a mission trying to calculate option prices using the rough Heston model. I've found that this is usually done using the characteristic function of the model, but I must admit that I ...
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### Why would one need forward prices to perform derivatives pricing?

I am trying to understand the purpose of inputs the software of my company is using. Amongst others it needs calibration instruments, a model type, initial values of the respective underylings and a ...
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### How would I price out and set up a steepening yield curve strategy in which Im long 5yr UST and short 30yr UST futures [closed]

Curious if someone could help me out with pricing this trade idea, or just give me some general tips on a direction I need to head to go about this. I attached a photo if to see how I set up the idea ...
86 views

### What is the convenience yield of Bitcoin?

Question What is the convenience yield of the cryptocurrency? Back-up Explanations According to the 4-page long research paper, Crypto carry, the widely varying funding rates of perpetual futures (...
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### Pricing of forwards contracts

Of the courses I am taking in college this semester, two are Financial Mathematics and Derivatives. In each course, we learn different formulas to calculate the forward price of a forward contract. ...
231 views

### Quasi Monte Carlo and Brownian bridge (how to combine them)

I am trying to understand how quasi Monte Carlo (QMC) and the Brownian bridge (BB) can be combined to price an asset, but I am having a hard time understanding how. I am just considering a European ...
88 views

### COS Method and existence of density

Hey in the COS method we use characteristic function of $\ln{S_T}$ to price european options (by recovering density from characteristic function). But how do we know that density exists? For example I ...
86 views

### Misconception about replicating portfolio [closed]

I am solving a problem in which following payoff is provided: With $S_0=100$ and $T=8$. Looking at the payoff it seems obvious that it is replicated with two european put options ($K=100$ and $K=150$)...
52 views

### Quantlib error initializing CapFloor C++ Class

I'd like to use QuantLib as a C++ library to price interest rate derivatives, in particular Cap&Floors. To semplify things a little, let's say I have a vector of EURLibor1Y rates for different ...
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### Why are futures contracts on the secondary market described as having 1 price, instead of 1 price for contract buyers and a 2nd price for sellers?

I'm first going to describe how I believe the futures contract mechanics work, and please correct me where I'm wrong: A contract seller (in a short position because usually they don't actually ...
60 views

### Delta of a forwards contract

in university's lecture notes, from what I understand using the replication of portfolio principle to price derivates, the forward price of a contract K should be: $K = P_0(1+r)$ where $P_0$ is the ...
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### Pricing a barrier call option using a copula

Consider two stocks, $S_1$ and $S_2$, with marginal pdfs $f_{S_1}$ and $f_{S_2}$. Assume $F(S_1,S_2)$ is the joint CDF. I'm trying work out a semi-analytic formula for the price of the barrier call ...
59 views

### Why do I get different results from different credit pricing engines in QuantLib

I am trying to use three credit pricing engines: IsdaCdsEngine, MidPointCdsEngine and IntegralCdsEngine but I am getting different NPV results from each of them. The case is like this: When I have as ...
176 views

### No-arbitrage arguments: how do additional fees affect futures on an index?

I am considering a fund that replicates the returns of an index minus a fee, using the following case-study my lecturer used regarding SPY: In practice, futures and forwards can be written on assets ...
143 views

### Are there really closed-form pricing formulas? [closed]

Good morning to all, I wanted to post this question here hoping to have more details. The concern, in my opinion, comes from the fact that the concept of "closed-form" is not clear. Because, ...