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by POlbricht
October 13th, 2015, 1:46 pm
Forum: Technical Forum
Topic: Why Does Put Write Outperforms Buy Write
Replies: 5
Views: 3018

Why Does Put Write Outperforms Buy Write

<t> Option prices are derived with risk neutral measure and by the replicating hedge/ no arbitrage arguments. The drift or expected return of the underlying does not matter for the option price. However, the drift matters for the expected payoff of an option. Thus, I would say ATM calls have a highe...
by POlbricht
September 30th, 2015, 10:22 am
Forum: Trading Forum
Topic: Quotes for FX exotic options
Replies: 0
Views: 2809

Quotes for FX exotic options

Hello everybody,Does anybody know sources for quotes on exotic FX Options? Especially barriers like DNT, RKO.I would appreciate your help.
by POlbricht
September 30th, 2015, 10:18 am
Forum: The Quantitative Finance Code Library Project
Topic: Local Stochastic Volatility calibration
Replies: 0
Views: 3472

Local Stochastic Volatility calibration

<t>Hello everybody,Is anybody aware of a piece of code available out there for calibrating local stochastic volatility models. Preferably with heston as stochastic part, other also appreciated. Preferably for Matlab, VBA, R, others also appreciated. I am mainly interested in the part of the code tha...
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