# Tag Info

Accepted

### Formula for forward price of bond

Amazingly, there are several different methods for computing bond forward price – the underlying ideas are the same (forward price = spot price - carry), but the computational details differ a bit ...
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### Stochastic volatility

[Short answer] No closed-form formula in general. You need to resort to numerical methods. Monte Carlo is preferred by most practitioners but you could also use Finite Difference schemes (and ...

### How to price a phoenix and snowball type autocallable options?

Typically structures like this are traded as notes. They will be sold at a face value of 100%, where that is normally the combination of a zcb (ie 1y usd, say 97.5%), expected coupon (say +10%), short ...

### Are there really closed-form pricing formulas?

In fact, the frontier between closed formulas and "opened" ones is a litle bit fuzzy. In fact, as soon as you use special functions like log, exp, erf, erfc and so on, you are relying on ...

### Are there really closed-form pricing formulas?

It typically means one can price the option in terms of a "simple" formula as opposed to having to resort to numerical methods such as Monte-Carlo, numerical PDEs, numerical integration, ...
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### Pricing of forwards contracts

Decompose the first formula as $F_0=(S_0 - S_0(1-e^{-dT}))e^{rT}$ then let $PV_{I} = S_0(1-e^{-dT})$ which represents the present value of dividends (dividend rate = $d$) paid on the security during ...

### Is the pricing formula for FX Forwards the same for FX Swaps?

Yes. The swap is quoted in fwd points relative to spot (sssuming that what you mean by r_term is the term interest rate of one currency and r_base the term interest rate of the other). Also, best to ...
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### Dupire's formula proof

I think you are confused by the definitions and interpretations of $\psi(x,y,z,t)$ and $\phi(x,y,z,t)$. The quantity $\phi(x,y,z,t)$ is a probability density function. Infinitesimally, it represents ...

### Valuation of a swap where both parties can cancel (not settle at market) with accrual method instead of present-value?

Any time that a contract is cancellable by either party, it will be cancelled. That's because it is always to one party's advantage to cancel rather than carry on. The exception is that the contract ...

### Pricing an open repurchase agreement

There's no such thing as an undated repo. For example , what would happen if the underlying security matures? Term repos of Treasuries of one week to one year are reasonably common. The pricing ...
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### Market Value of a CDS

There is a much better pricing formula which is an accurate approximation. Anecdotally I believe that the difference between this and the "offical" CDSW calculator on Bloomberg will be within about 0....

### Formal proof for risk-neutral pricing formula

You have two main papers that show this result: In a finite framework and in a somewhat simplified continuous framework, see Harrison & Pliska (1981), Corollary on page 228, Proposition 2.9 and ...

### How to price an exchange option using B&S framework?

I think there are 2 ways to get the answer. First way is what Gordon said. But when I first saw his answer, I didn't know why he defined Radon–Nikodym like that, so I thought about it for a long time, ...
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### How to price an exchange option using B&S framework?

Measure change is still the most natural approach for such problems. We assume that, under the measure $P$, \begin{align*} dX_t &= \mu X_t dt + \sigma X_t dW_t^1,\\ dY_t &= \mu Y_t dt + \...