<t>Hi,If we were to reprice vanilla options using a local vol surface using the same prices it had been constructed from..shouldn't they match?What is the best possible approach to go about local vol pricing.. as in not only constructing the surface but also pricing the options.. Any papers availabl...

doesnt always work..Thanks a ton..

and with your thing as well..but how do I spread your mids?

RR bid=call bid-put mid8.52-11.18=-2.66RR ask=call ask-put mid9.22-11.18=-1.96Which seems to be in sync with the market data..

<t>How do I go about calculating or rather justifying 25d RR and 25d Butterfly Bid-Ask quotes from 25d Call and 25d Put quotes or vice versa?Market data : ask bidBF 0.5 0.15RR -1.96 -2.66ATM 9.85 9.55C 9.22 8.52P 11.53 10.83RR seems to bid call-mid put and ask call-mid put...But is it always true?Bu...

Does anyone have this paper?

<t>I actually wish to price a USD-CAD cancellable swap where the notionals are exchanged and then the guy who got the CAD notional pays a fixed amount every month and the guy with USD pays nothing. If the guy with CAD has the option to cancel the swap he pays more, if the person with USD has this op...

Hi..I wish to price a zero coupon cross currency bermudan swaption..The underlying swap has a fixed leg payment and no payment on the other leg(ie zero% on the other fixed leg)..what do i do? Any refs?

<r>Hi,Can the Vasicek model be used the way Rubinstein's(1994) used it for stocks.<URL url="http://www.wilmott.com/messageview.cfm?catid=11&threadid=67995Haug%27s"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... 7995Haug's">http://www.wilmott.com/messageview.cfm?catid=11&threadi...

<r>Reverse barriers are defined as barrier options with KO/KI that are in the money?<URL url="http://www.mathfinance.de/seminars/risk/barriers2002/efficientHedgingBarriers-print.pdfClark"><LINK_TEXT text="http://www.mathfinance.de/seminars/risk ... t.pdfClark">http://www.mathfinance.de/seminars/risk...

Thanks..but bloomberg seems to have Black's as an option as well..and the strike needs to specified as price..

Hi,Would someone know about how do we go about using Black Scholes for pricing Bond Options on yield as strike. I see this has been implemented by a few standard option calculators.

Thanks Alan..What vol do you use at t=0?

<t>We would come across this formula almost in every other bookσloc=(2*∂C/∂T/(K^2*∂2C/∂K2))^.5My question is:1. Is σloc a. σloc(K,T) or b. σloc(S(t),t). And the so called local vol surface that is created by using this formula does it have strike as x axis? Or is it spot?2. If I were to price an opt...

<r>Thanks..I am not too aware how well you are aware of how fx deltas are quoted..for longer dated fx options often "forward deltas" are employed..You'll find this strange but these are essentially driftless deltas..Here is another paper by Wystup..<URL url="http://www.frankfurt-school.de/clicnetclm...