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2 votes

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 ...
user35980's user avatar
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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 ...
user68819's user avatar
  • 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, ...
phdstudent's user avatar
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