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Questions tagged [synthetic]

The tag has no usage guidance.

0
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1answer
61 views

Papers on synthetic options

I'm looking for some scientific papers to get a better grasp of synthetic options mainly the valuation, eventual time decay etc.. I've looked in my university library and only but I only found obscure ...
2
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0answers
46 views

synthetic convertible dynamics

A synthetic convertible bond can be created by combining a non-convertible bond with a long dated call option or warrant of the same issuer. Are there any papers which studies the dynamics of ...
1
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1answer
72 views

Construction of synthetic deposits

I'm looking at the paper "Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping But Were Afraid To Ask". It describes how to construct synthetic deposits in order get a ...
1
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2answers
264 views

synthetic currency pair

I want to generate price of a synthetic currency pair. For example, I have EURGBP, GBPUSD prices and I want to generate EURUSD price. I preferred to use these already existing currency pairs to verify ...
1
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0answers
59 views

Creating a synthetic future

Let's say we have a time series for an illiquid future and we would like to replicate this time series using two time series for liquid futures using daily rebalancing. What would be a good approach ...
0
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1answer
84 views

Is there a way of synthetically deleveraging a Real Estate portfolio?

If I manage a Real Estate portfolio with approximately 400 million in debt, which is roughly 50% Loan-to-Value (the properties are worth about 800 million). Is it possible to synthesize a bond ...
2
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1answer
686 views

How to create a synthetic put?

I have been reading into Hull's section on portfolio insurance through synthetic puts. My understanding is that in order to replicate a put we should replicate it's delta. Proceeding, Hull states ...
0
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2answers
74 views

Dealers becoming synthetically short an out-of-the-money option

"When dealing with a large-size position, dealer, upon exercise, synthetically become short an out-of-the-money option." How does this work, I cannot see why this happens synthetically in particular?...
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0answers
30 views

Financial Derivative, European Option [closed]

Market Prices for European put and call options on ABC stock are as below: Call = $4.5 Put = $6.8 Exercise Price, X =$70 Risk Free Annual Compounded rate r = 5% Time to expiration T = 139 days ...
3
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0answers
2k views

Carry Trade vs synthetic Carry Trade using forward contracts

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
1
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0answers
114 views

Shorting a Synthetic Long [closed]

I have the following information: Call Premium: 0.30 Put Premium: 40.4 Strike: 130 1-Month Risk-Free Rate: 0% Market Price: $85.00 If I use the Synthetic Long ...
1
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1answer
246 views

use synthetics for a pairs trading strategy

Let us say I want to pursue a pair trading strategy between stock A(long) and stock B(short). Can I replace this stocks with their synthetic option equivalents and have the same risk reward profile ...
4
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1answer
299 views

How to synthesize a futures spread option?

Is it possible to synthesize a futures spread option using only the options on the spread's underlyings? If so, how? If not, is there another way? As an example, please show me how to synthesize ...
8
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1answer
2k views

Constant maturity futures price methodology

What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...