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Results tagged with Search options 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
3answers
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?
asked Oct 22 '14 by user155214
2
votes
1answer
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 …
asked Dec 28 '14 by user155214
4
votes
1answer
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 …
asked Aug 29 '15 by user155214
1
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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 …
asked Sep 24 '15 by user155214