<t>Hi everyone,I have a question regarding hedging lookback options.For fixed strike lookback calls and puts, we can hedge by buying two call/put options, sell them when the share price moves up(down) and buy new ATM call/put options.What about floating strike ones, caus the above strategy no longer...

Hi,In the BGM or Libor market model, we would like to keep the volatility parametrization as time homogeneous as possible, can anyone tell me the financial intuition behind this?Thanks

QuoteOriginally posted by: TadYou asked the exact same question in the student forum just yesterday?Unfortunately yes as I tend to grab the attention from more audience

Any inputs?

<t>QuoteOriginally posted by: AlanI see -- that explains your zillions of questions. They are interview questions.I stick with my advice. First code it up and experiment. Then, once you know theanswer, figure out how the answer could have been deduced without the coding.Only this one is an interview...

<t>Hi, I've got a question regarding the impact of correlation on the price of a basket option.Assume we have a basket option whose payoff is min(S_1+S_2, K), when the correlation between S1 and S2 increases should the price go up or down? The way I do it is to transform the payoff function to -max(...

QuoteOriginally posted by: AlanJust code the exact value under GBM and experiment with varying rho.It's supposed to be an interview question posted on Glassdoor, I think it should be somthing that can be solved without coding.

<t>Hi, I've got a question regarding the impact of correlation on the price of a basket option.Assume we have a basket option whose payoff is min(S_1+S_2, K), when the correlation between S1 and S2 increases should the price go up or down? The way I do it is to transform the payoff function to -max(...

<t>QuoteOriginally posted by: frenchXInteresting question but I'm not sure how to give an intuitive answerYour payoff is max[0, MaxCoupon+∑min(Ret(i), 0)]As you may guess this is complicated but a quick look at two books may give you some insights."Paul Wilmott on Quantitative Finance vol 2" by Paul...

<t>Hi, I have a question regarding the vega convexity regarding the reverse cliquet.The payoff is defined as max[0, MaxCoupon+∑min(Ret(i), 0)]=max[0, MaxCoupon-∑max(-Ret(i), 0)], Ret(i)=S(i)/S(i-1)-1based on what I've read from the book "Exotics options and hybrids: A practitioner's guide", there're...

Anyone? urgent

<t>Hi, I have a question regarding the vega convexity regarding the reverse cliquet.The payoff is defined as max[0, MaxCoupon+∑min(Ret(i), 0)]=max[0, MaxCoupon-∑max(-Ret(i), 0)], Ret(i)=S(i)/S(i-1)-1based on what I've read from the book "Exotics options and hybrids: A practitioner's guide", there're...

Hi guys, got an question over Vega convexity.Assume the payoff of a variable cap cliquet is max[0, ∑min(LC(i), max(LF, Ret(i)))], where LC(i)=max(LC(i-1), Ret(i)), Ret(i) is the underlying return for period i. To the seller of the product, is he selling or long vega convexity?Thx

<t>Suppose we now have a globally floored(at 0) locally capped(at 5%) cliquet with max[0, ∑min(Ret(i), 5%)] and we'd like to analyze whether the buyer is short or long skew. The way I decompose it would be max[0, -∑max(-Ret(i)+5%, 0)+n*5%], so the buyer is long the global floor 0 which is equivalent...

<t>QuoteOriginally posted by: AlanA better formulated question might help: define your payoffs and link to whoever/whatever said what you don't understand.Sorry for about this, let me elaborate the question in more detail.Suppose we now have a globally floored(at 0) locally capped(at 5%) cliquet wit...