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Results tagged with Search options user 28544

Questions about models for the valuation of option contracts.

4
votes
1answer
I recently stumbled upon a paper titled "Markov Chain Monte Carlo Analysis of Option Pricing Models" thanks to another post on this site (see: link). I have the ultimate goal of implementing a MCMC …
asked Nov 18 '17 by Vladimir Nabokov
2
votes
I'll decompose your big question into smaller questions and answer them in (hopefully) simple terms. 1. What is meant by the risk neutral measure? This is how I understand the risk-neutral measure ( …
answered Jan 4 '18 by Vladimir Nabokov
1
vote
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I'm curious to know the best interpretation of the Black-Scholes formula for a European equity call option: $$C(S,t)=S_tN(d_1)-Ke^{-r(T-t)}N(d_2),$$ where $d_1=\frac{1}{\sigma\sqrt{T-t}}\big[\ln(\fr …
asked Jun 30 '18 by Vladimir Nabokov
3
votes
1answer
I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the va …
asked Jan 9 '18 by Vladimir Nabokov
1
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I'm in the early stages of developing a swaption pricing model. Suppose $t_1$ is the tenor of the swap rate in years, $F$ is the forward rate of the underlying swap, $X$ is the strke rate of the swap …
asked Apr 17 '18 by Vladimir Nabokov