4
votes
Wrt speed, how optimised is QuantLib's Heston pricing class?
QuantLib does a lot of things behind the scenes that provide convenient functionality but get in the way of pure speed. For instance, in your example code, when you write
...
- 7,003
3
votes
Accepted
Replication of the payoff of a chooser option
Consider a European chooser option which allows you to choose at time $\tau$ if you want to receive a put option and call option with maturity $T>\tau$.
At time $\tau$, using the put-call parity, ...
- 15.3k
3
votes
0DTE volatility and greeks
You don't. The problem is that when the time horizon is so small, if the options isn't perfectly ATM, the gamma and vega $\approx0$, and delta $\approx1$. A small shift in the underlying further OTM/...
3
votes
How to get the fair value for an option with variable strike?
You need a corporate finance type analysis for this. I am assuming you are valuing that option for a PE company or something of that sort.
Create scenarios for the company (revenue, cost, margins, ...
- 8,062
2
votes
Accepted
Floor vs Receiver Swaption with Equal Strike
This is a classic question and has been asked/well-addressed several times in this forum in prior answers. Suffice it to say, a $K$-strike receiver swaption $\leq$ a $K$-strike floor and this ...
- 1,231
2
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Floor vs Receiver Swaption with Equal Strike
I'd say the floor should definitely always be worth more than the swaption.
The vol on the swaption is an average of the expected vol of forwards (averaged to some extent). Intuitively it makes sense ...
- 361
2
votes
implied volatility for close to expiry ATM options vs VIX
This question was asked the day before Thanksgiving ? Then an option that expires in 3-4 days is Friday ? Or Monday ? It doesn’t much matter, the point is that the market doesn’t expect much action ...
- 16.6k
2
votes
implied volatility for close to expiry ATM options vs VIX
Bonus: Dividend yield concerns the underlying, not the option. It is a cost of carry no arbitrage logic that is used to price options and as such you need to take dividends into account.
The VIX index ...
- 8,143
1
vote
Price Option B Knowing The Price of a Similar Option A
Welcome Kai, I am Kai. Hopefully this answers your question?
A Review on IV Calculations
https://www.sciencedirect.com/science/article/pii/S0377042717300602
I don't think there are exact mathematical ...
- 569
1
vote
Constructing payoff with options
This is essentially some form of commodity-linked structured note (this case being oil). In this case, such a structured is a Leveraged Participation note with Cap in industry lingo.
In terms of how ...
- 73
1
vote
Accepted
How can I price this option?
A butterfly (option) is an option strategy with the payoff structure like below (disregard the axis labels, just take note of the structure):
There are 4 ranges you mentioned in your question:
$0 \...
- 569
1
vote
Is Lookback option more path-dependent than an Asian option
What types of options are "more" path dependent than others is not well-defined. The cited distinction -- full-path dependence versus single-point dependence -- is somewhat useful in the ...
- 14.7k
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