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How to price a phoenix and snowball type autocallable options?

For anyone who is still interested in this. A snowball can be priced through PDE by using autocallable + doubleNoTouch + doubleOutPut - upOutPut. The solver is easily constructed by playing around ...
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Beta anomaly (t statistics)

Yes. That is pretty easy. You have the returns for the high portfolio and for and low portfolio. You subtract one from the other and you have a time-series of returns for the High-Low portfolio. Then ...
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