# Tag Info

### Ratio of real world to risk-neutral density

The ratio of any two PDFs (if it can be defined: see below) is just the Radon-Nikodym derivative. The conditions for the Radon-Nikodym derivative to exist are given by the Radon-Nikodym theorem. ...
• 6,263
1 vote

### The Intuition Behind The Max and Min of a Dual Digital

Best case, if 1 happens, then 2 also always happens. So the max is $0.7$ (if 2 happens, 1 can't always happen because the mass at 1 is lower). Worst case, 2 happens, then 1 happens with a chance of $x$...
• 2,481
1 vote

### ABM Crossing Times

Heuristically, the time $t$ taken to travel an absolute distance $\delta$ is given by $$\sigma \sqrt{t} = \delta$$. So this gives $t= (\delta/\sigma)^2$ so the number of times this happens in a time ...
• 17.4k

### FX Option and Greeks Value in Dollars

Using @LongTimeLurker 's values I plugged these into my calculator, and I get the following values in agreement with his: ...
• 11.1k
Accepted

### FX Option and Greeks Value in Dollars

Alright so this is the best I can come up with. It's always tricky to reverse engineer textbooks where all inputs are not explicitly given. i'd also like to point out that the chapter is more about ...

### For index option pricing which model should be used black 76 or black scholes

Black 76 for options on index futures and Black-Scholes on index options like SPX options. Reasons and assumptions are covered extensively in Hull. See also sections on bond options, swaptions, etc. ...
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