<t>Consider a "Best In" Call, i.e. a call whose strike is fixed on the lowest daily observed level during an initial "Best In" period. To be concrete, let us assume we have a 5y call option with a 3 months best in period.I compared the delta of two calls, one on the SX5E (low forward) and the DAX (h...

Could you elaborate a little bit more on the way you came to your answers? Or did you count?

<t>A probability theory question which I came across lately and where the answer unexpectedly turned out to be not so easy?!Given a perfect coin. Throw the coin 12 times. Have a look at the longest "trend", that is the biggest number of consecutive throws that have the same outcome. Example: abaabbb...

<t>A probability theory question which I came across lately and where the answer unexpectedly turned out to be not so easy?!Given a perfect coin. Throw the coin 12 times. Have a look at the longest "trend", that is the biggest number of consecutive throws that have the same outcome. Example: abaabbb...

Hi,I am looking for websites covering structured products. For the UK market I know www.structuredretailproducts.com. Does anyone know similar sites for the French, Italian and Benelux market??

Hi,could anyone give me a hint? I am looking for informations about a type of reset option:after each dividend day the strike of the option is reset to a new level "old strike - dividend paid". Any papers known on this type of option?Thanks

<t>QuoteOriginally posted by: zerdnaThere are two effect of divs on long-term euro call. First, your forward moves down which several people noted and which obviously is not the reason for any qualitative difference. The second effect, that is an actual economic reason is the following. Stock econom...

<t>QuoteOriginally posted by: FDAXHunterThe reasons this happens is obvious, you are discounting your call value faster than your forward price can rise through time... but as Nonius has pointed out, I don't know Jack about trading... so better not listen to me..Okay, this is what I'd call a technic...

<r>QuoteOriginally posted by: Nonius<blockquote>Quote<hr><i>Originally posted by: <b>Nonius</b></i><blockquote>Quote<hr><i>Originally posted by: <b>sarastro</b></i>When playing around with the Black-Scholes formula and sending the time to maturity to infinity I found for different values of r, q and...

A simple look at the Black-Scholes formula will show you that this is not true...

<t>When playing around with the Black-Scholes formula and sending the time to maturity to infinity I found for different values of r, q and v a behavior of call and put prices that I have problems to explain economically. Say spot and strike of the option are at 100. Take a volatility of 25% and fix...

<t>Hi,does anyone know a reference that gives a closed-form solution or numerical approximation method for roll-down calls? To my knowledge Gastineau introduced these options in the mid-nineties but without providing any hint how to value them. Carr in his famous "static hedging" paper showed a hedg...

<t>A couple of days ago I stumbled across option, that has the following payoff scheme:we look at a number of stocks. Each year we measure the year-to-year performance of these stocks. You will get the lowest absolute return (in percent) of these stocks. Therefore we don't care about market directio...

<t>A couple of questions regarding commodity options:- are commodity options, in particular options on precious metals, priced under the assumption that the underlying "lives" in a Black-Scholes world? - has there been any research on whether the returns of precious metals or other commodities reall...

<t>Regarding the static hedge of two-asset barriers: to make my problem easier to deal with, let's assume that we want to hedge a Down/Out-Call, on the S&P 500 and the Nikkei. The Payoff depends on the S&P 500 while the barrier is triggered by the Nikkei. Is there a way how to hedge the S&am...