# All Questions

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### Pricing Variance Swap

I want to calculate the NPV of a Variance Swap wherein the cash flow happens every months based on the standard Variance formula of the close prices of S&P500 ...
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### Multivariate MC: what am I doing wrong?

I am trying to generate multivariate MC results presented in this paper A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method, by ...
12 views

We are looking for a simple way to calculate an approximation of the basket volatility for a set of baskets so that we can estimate which basket might produce the highest coupon in a standard ...
47 views

### Clean vs dirty price for bonds

Why the clean price is mostly quoted in the US bond markets and the dirty price is mostly quoted in the European bond markets?
35 views

### Option implied distributions

I am having a bit of trouble understanding how to obtain the option implied distributions. I have strike levels, deltas and implied vols for a call option that expires in 6 months. Roughly 40 data ...
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### How is the implied risk neutral density affected when changing numeraire?

For example i would like to price \begin{equation*} E^{Q} \left[ e^{-\int_{0}^{T}r_{s}^{cur}ds} f \left( S_{T_f}^{cur_1} \right) | \mathcal{F}_{0} \right] = B_{cur}(0,T)E^{Q^{cur}_{T}}[ f(S_{T_f}^{...
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### How are the divisor of SP500 determined?

I read through the definition of S&P 500, there is no clear explanation of the Divisor. I wonder what is it and where can I read more about it?
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### How to simulate asset prices/returns that display market regimes?

Are there any techniques that can make a multivariate random number generating process for stock prices/returns, like geometric Brownian motion via Cholesky, also include the simulation of a finite ...
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### How to extrapolate shorter tenor from volatility surface?

Overnight(ON) volatility is the first input of a volatility surface, 1 weeks, 2 weeks and so on... Say I have a volatility surface with ON expiry of 1 day, is there anyway to extrapolate volatility ...
153 views

### Price of Call Option with or without jumps

Suppose two assets in the Black Scholes world have the same volatility, but different drifts and that one has downward jumps at random times. How does this affect the option prices? I would have ...
18 views

### How to understand broken wing butterfly option strategies?

I feel very confused about the greeks analysis for the broken wing butterfly strategy. Let's say for the stock ABC, we enter into a such strategy: we long a put option with strike $k_1$ and another ...
14 views

### Portfolio models that maximize cumulative returns

Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
130 views

### Why do cumulative returns have a bimodal distribution?

Regular returns (log-differenced prices) have statistical distributions that are bell-shaped and unimodal (one mode/peak) despite being non-normal and fat-tailed. Cumulative returns, on the other hand,...