# Tag Info

### Hagan's explanation of the Local Volatility model

The local volatility SDE $$dS_t = \sigma_{LV}(S_t,t)S_t dW_t$$ is the starting point. (Some absorb the $S_t$ into $\sigma_{LV}(S_t,t)$ but let's keep them separate here). Starting from this SDE ...
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### Pricing options in underlying problem

You look at ETHUSD - how many USD per one ETH. If S=K=20 you get (correctly, if vol is 130%) a price of 1.43. However, if you swap it around to price the option as USDETH (how many ETH per USD), you ...
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### How do you handle non integer time intervals in Quantlib for options pricing (ie intraday pricing)

QuantLib has support for intraday calculations, but it's not enabled by default because it makes the library slower. Unfortunately, it's not a runtime switch: you'll have to recompile QuantLib and ...
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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 ...
1 vote

### What exactly are the “bounds” in arbitrage bounds?

What exactly are the “bounds” in arbitrage bounds? The bounds refer to price levels for the combination of related tradable instruments (spreads) outside which arbitrage activity switches from ...
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