Questions tagged [pricing-formulae]
The pricing-formulae tag has no usage guidance.
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Formula for forward price of bond
What is the formula for the forward price of a bond (assuming there are coupons in the interim period, and that the deal is collateralised)
Please also prove it with an arbitrage cashflow scenario ...
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How to obtain true probabilities from Black-Scholes?
How to obtain true probabilities from Black-Scholes option pricing equation?
Suppose, that we know risk adjusted discount rate for the underlying asset (the drift term in the physical measure) and ...
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Formal proof for risk-neutral pricing formula
As you know, the key equation of risk neutral pricing is the following:
$$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$$
That is, discounted prices are Q-martingales.
It makes real-sense ...
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Documentation of the ISDA CDS standard model
I have to validate the use of the ISDA CDS standard model.
Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail.
I can download an Excel-...
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Market Value of a CDS
I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem?
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What is the Most Efficient Way to Calculate the Internal Rate of Return IRR?
I have built a program that prices financial assets and it does this in part by calculating the IRR. The problem is that it does not run as quickly as I would like it to.
I currently use the Newton-...
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How to price a phoenix and snowball type autocallable options?
I'm currently studying the pricing of autocallable options, especially snowball (accumalated coupon) and phoenix (accumlated coupon, but the coupon may also be autocalled if the underlying price ...
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How to price an exchange option using B&S framework?
Consider a market composed by two stocks whose prices $X$ and $Y$ are given by B&S diffusion:
$$dX_t= \mu X_t dt+ \sigma X_tdW_t$$
$$dY_t= \mu Y_t dt+ \sigma Y_tdB_t$$
Supposing the market is ...
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