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by complyorexplain
December 14th, 2021, 12:38 pm
Forum: General Forum
Topic: Solving for interest rate
Replies: 11
Views: 3672

Re: Solving for interest rate

Just out of curiosity, what is the actual situation here where you have a call price but not a put? 
Purely theoretical! 
by complyorexplain
December 9th, 2021, 9:49 am
Forum: General Forum
Topic: Solving for interest rate
Replies: 11
Views: 3672

Re: Solving for interest rate

The OP says the value (I meant price) of the underlying asset. I.e. S, not F. Thus, given the price of the call option, and S, K and T, how do we get a closed form value for r, the implied interest rate? I don't think there is a solution, although we can use numerical methods. Clearly if we are told...
by complyorexplain
December 8th, 2021, 1:10 pm
Forum: General Forum
Topic: Valuation of put with reflecting barrier
Replies: 55
Views: 16691

Re: Valuation of put with reflecting barrier

Hopefully we get a paper into print on this, after some of to and fro.  The model clearly violates a number of arbitrage constraints. Yes, I can see that others have pointed this out above, but there is nothing pointing it out in the literature that we can see. 
by complyorexplain
December 8th, 2021, 12:36 pm
Forum: General Forum
Topic: Solving for interest rate
Replies: 11
Views: 3672

Re: Solving for interest rate

I agree if I have the put price, then I have the forward, hence I have the interest rate.

But if I don't have the put price (or the forward price) how do I solve?

As for ATMF, how do I know what the ATM is? Doesn't that require knowing F?
by complyorexplain
November 22nd, 2021, 5:24 pm
Forum: General Forum
Topic: Equity options where there is corporate debt
Replies: 7
Views: 2337

Re: Equity options where there is corporate debt

My thinking is that dividend payments prior to expiration can be treated the same as debt payments, with the recognition that this does not reflect the "we cancelled the dividend but are still an ongoing company" possibility. I regard them as a debt on and after the announcement date, giv...
by complyorexplain
November 22nd, 2021, 5:19 pm
Forum: General Forum
Topic: Equity options where there is corporate debt
Replies: 7
Views: 2337

Re: Equity options where there is corporate debt

Some prior research that may be of interest: - Merton's (1974) model for equity as a call option. Peter Feldhuetter https://feldhutter.com/ has done some outstanding recent empirical research on the Merton model, and extensions of it. Particularly this: https://feldhutter.com/CreditSpreadPuzzleFINA...
by complyorexplain
November 19th, 2021, 9:43 am
Forum: General Forum
Topic: Solving for interest rate
Replies: 11
Views: 3672

Solving for interest rate

Hi all. If I am given the price of a European call option, plus the value of the underlying asset, the strike price, the imputed volatility and the time to expiry, I can mechanically solve for the implied interest rate (for example, by goal seek). Is there any closed form solution for this value?
by complyorexplain
May 17th, 2021, 4:32 pm
Forum: General Forum
Topic: Educational software packages
Replies: 16
Views: 5684

Re: Educational software packages

Though I realize now, you're simply asking for a device for recording and writing If I wanted to keep it simple I'd just use https://screenapp.io/#/ and a paint program (correction, The bright side of mathematics, which looks a lot like your blackboard video, is probably JUST using onenote) to have...
by complyorexplain
May 1st, 2021, 11:32 am
Forum: General Forum
Topic: Educational software packages
Replies: 16
Views: 5684

Re: Educational software packages

Hello, One way is is to use PowerPoint , maybe as part of an  Office365 subscription. There is an option to record the presentation, which can then be uploaded to YouTube (say). This allows you to prepare some material if need be, or develop the tutorial from scratch. Examples of both : (Presheaves...
by complyorexplain
April 22nd, 2021, 12:40 pm
Forum: General Forum
Topic: Educational software packages
Replies: 16
Views: 5684

Re: Educational software packages

The particular example of the technology the poster chose was not a very impressive one. So what? That is not the point of the inquiry. The poster was asking about a web technology that, like any tool, can be well used or poorly used.   That's a good point. I like it. But .. OP did not specify the ...
by complyorexplain
April 19th, 2021, 4:58 pm
Forum: General Forum
Topic: Educational software packages
Replies: 16
Views: 5684

Re: Educational software packages

Cuchulainn: Out of curiosity, what's the compelling reason for using this medium? It's so long-winded. (that video lasts an hour..) But they seem to be popular. How about this? It allows the presenter to be spontaneous and work out answers to questions posed in real-time.       ?What is 'this'?
by complyorexplain
April 15th, 2021, 9:16 am
Forum: General Forum
Topic: Educational software packages
Replies: 16
Views: 5684

Educational software packages

Hi all.

I like how these 'virtual blackboard' videos work, e.g. this one https://www.youtube.com/watch?v=JAf_aSIJryg

Can anyone recommend some cheap software with blackboard effect, voiceover and other presentational devices so I can start making videos like this?
by complyorexplain
December 21st, 2020, 4:48 pm
Forum: General Forum
Topic: Proof of the risk-neutral assumption
Replies: 70
Views: 14266

Re: Proof of the risk-neutral assumption

Don't drag me into your wikipedia logic drivel, please.
OK is Wolfram better? https://mathworld.wolfram.com/Validity.html
by complyorexplain
December 21st, 2020, 4:35 pm
Forum: General Forum
Topic: Proof of the risk-neutral assumption
Replies: 70
Views: 14266

Re: Proof of the risk-neutral assumption

(3) is not a premiss. As I said B&S model => PDE => expectation with a specific measure coming from Feynmann-Kac theorem => (3) is true with the expectation using the same measure. And in that model there are risk premiums. Thanks. Are there any simpler ways to derive the Formula direct from th...
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