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
votes
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 ...
- 351
2
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/...
1
vote
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, ...
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