5

Let's take a step back to look at what implied volatility (IV) really is. If we know the price of a call option, the interest rate (we can use the spot rate corresponding the option maturity) then Implied volatility is that level of volatility that will result in the option price when putting into the Black-Scholes formula for a call option value. If we ...


2

Typically structures like this are traded as notes. They will be sold at a face value of 100%, where that is normally the combination of a zcb (ie 1y usd, say 97.5%), expected coupon (say +10%), short Knock In put (also knocked out by the autocall feature, say -8%), and some profit for the issuer (in this case, 100%-97.5%-10%+8%=0.5%). Sometimes these are ...


1

These papers study delta-hedging of equity options with different models. @Article{, author = {Gurdip Bakshi and Charles Cao and Zhiwu Chen}, title = {Empirical Performance of Alternative Option Pricing Models}, journal = {Journal of Finance}, year = 1997, volume = 52, number = 5, pages = {2003--2049}, } @Article{, author = {...


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