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Results tagged with options
Search options not deleted
user 12093
A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
1
vote
3
answers
267
views
What is the name of this product?
Consider the payoff =$S_T1_{S_T>K}$ where $S_T$ is the asset price at maturity.
What is this type derivative called?
and is it a liquid option?
- 325
1
vote
0
answers
316
views
Computation of option vega under CEV
It is easy to define the option vega $\nu=\frac{\partial C}{\partial \sigma}$ under Black Scholes model since volatility is a single quantity.
However, under CEV or local volaility model, it is conf …
- 325
2
votes
1
answer
649
views
Asymptotic behavior of theta of vanilla call option
It is well known that the theta of call option is always negative. Also, the theta of (at the money call option) goes to infinity as the time approaches to the maturity. On the other hands, (ITM and O …
- 325
7
votes
1
answer
1k
views
Feynman Kac Formula for path-dependent options
Consier geometric Brownian motion: $dS_t/S_t=\mu dt+\sigma dW_t$
Feynman Kac theorem tells us that
the conditional expectation $v(t,x)=E[ e^{-rT}\Psi(S_T) | S_t=x]$ can be computed by solving the fo …
- 325