6
votes
Discounted price of an option
The process $Y_t:=(S_t-K)^+$ cannot be the price of a traded asset because of Jensen's inequality. Instead, it is the price of the option which is a martingale.
In the Black-Scholes model, the ...
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3
votes
Accepted
What are the quantitative models for modelling the SOFR rate, the IR products when Libor rates end
The reference you want is https://www.newyorkfed.org/arrc
The conversion to SOFR from LIBOR was well worked and well publicised, concerning the transition issues and what were the ultimate ...
- 8,412
1
vote
Quantlib SOFR swap repricing across 2 different dates
I realise the question is specifically about Quantlib, but I wanted to highlight an answer using Rateslib for Python, the answer is around 1.05mm USD as you predicted.
Setup your initial curve (note I ...
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