Questions tagged [synthetic]
The synthetic tag has no usage guidance.
23 questions
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Synthetic options between two underlyings
Given options (call and puts) for two given underlying pairs, A/USD and B/USD, is it possible to build synthetic options for the A/B pair?
Concrete example: spot gold (XAU/USD) is around \$2600 and ...
- 105
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41
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Unitise an options portfolio
Suppose I have a portfolio of European index options (long call, short put) and risk free assets (buy bank bills) to create a synthetic long index position. I wish to unitise this portfolio to ...
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Is the initial value of the portfolio replicating a forward zero?
This is from the book Financial Calculus: An Introduction to Derivative Pricing by Martin Baxter.
By choosing appropriate weights in a portfolio of a stock and cash bond you can replicate the payoff ...
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1
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701
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Simple Blockbootstrap instead of CircularBlockBootstrap
I am currently trying to Block-Bootstrap my Stock-return data in Python. I am doing that to generate synthetic data. I came across the CircularBlockBootstrap but found in a few discussions here that ...
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Under Put-Call Parity, why do we add the cost of carry to Call prices but subtract them from the Stock price and Put prices?
In Natenberg (1994) Chapter 11 he outlines the Put-Call parity relationships.
...
user46424
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Block Bootstrapping for synthetic data
I am trying Block Bootstrapping for synthetic data generation.
For example in
http://www.blackarbs.com/blog/synthetic-data-generation-part-1-block-bootstrapping
the author @blackarbsceo use data from ...
- 126
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144
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Create a Synthetic Single Stock Future
Is it possible to create a synthetic long single stock future using the stock and it's vanilla options with the caveat that selling naked puts is NOT allowed? That is, you can write puts, but they ...
- 113
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Synthetically sell to close puts in limited-margin IRA
Suppose:
I bought an American put on a stock in a retail brokerage IRA, where I can't sell short or write uncovered options.
The put is ITM and has served its purpose for hedging.
The put is thinly ...
- 233
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2
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131
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European Call option combined with Short selling
How would I calculate the abitrage profit from a combination of buying the $10 European call option and short selling X number of shares at t=0 and the coming out with a profit at expiry no matter ...
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120
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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 ...
- 23
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102
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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 ...
- 2,133
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256
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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 ...
- 151
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2
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632
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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 ...
- 341
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82
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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 ...
- 63
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125
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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 ...
- 981
2
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990
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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 ...
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2
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93
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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?...
- 2,662
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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
...
- 31
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3k
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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 US-\$ in the US (low interest country) and invests that \$1 to AU (high interest ...
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135
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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 ...
- 23
1
vote
1
answer
384
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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 ...
- 1,404
4
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1
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410
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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 ...
user6500
8
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1
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3k
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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, ...
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