15
votes
Accepted
Skew and shadow delta
Basically, the author is saying that the delta of an option,
$dC/dS = \frac{\partial C}{\partial S} + \frac{\partial C}{\partial v}\frac{\partial v}{\partial S}$,
where the $\frac{\partial C}{\...
- 17.5k
5
votes
Accepted
Why buy/sell a forward starting option?
It is hard to imagine why a trader would want to buy a forward start option to express a market view, unless there is a one-off event like an election which they don't want to have as part of the live ...
- 429
2
votes
Accepted
Swaption on Forward-Starting Swap "Replication"?
The way to think about this is an option to enter a basket of two swaps. The basket contains these positions:
$P_1$: a long position in a swap that starts at $T_1$ and finishes at $T_3$
$P_2$: a short ...
- 139
1
vote
Question about pricing forward start option with Heston Monte Carlo
They should be the same. Compare against this python code, Mathematical Modeling and Computation in Finance
- 41
1
vote
How to price a forward struck contract today by changing from a $T>T'$ forward measure to $T'$ forward measure at time $t<T'<T$?
The last step (taking everything outside the expectation ) is invalid. The expression $E[\frac{S_{T'}}{P^{T'}_T}]$ is the expectation of the product of 2 random variables. As such, you need a model ...
- 17.5k
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