Thx guys, I'm gona take a look at them. Tom

Hi there,Does anyone know a closed form of Asian option under shifted lognormal model?Many thanks in advace,tomtom

<t>Hi guys,I have made a pricer for one touch option (paid at hit) in VBA but it seems wrongas a value returned is more than 1, though it must be less than 1.So I would appreciate it if some of you could debug my code:Here are the market data used and the code:spot 1.00barrier 1.20maturity 1vol 10%d...

marpa/CuchulainnThanks a lot. I will take a look.>FDM, much faster.Exactly!! But I'm a quick and dirty guy:-)tomtom

<t>Hi there,Could you please tell me whether or not the closed formula for Barriers with partial barrier observation period exists?I mean by partial barrier observation period that barrier is monitored in a sub period until the option maturity.e.g. for 5 yr option,barrier is monitored ONLY from yr 1...

Hi there,Do ATM options have the highest time value?Is it highest exactly at ATM or close to ATM?I understand it intuitively but am not sure it's exactly true...Many thanks in advance,tomtom

Hi thereI can prove the equation above want to know its financial meanings.Could anyone help me?Thanks in advance,

Hi there,Could anyone please let me know the convetion for FX implied vol linked swap?Many thanks in advance,

<t>Hi there,I would like to understand the explanation that the convexity adjustment is always positive asthe profile of CMS is linear, while standard forward swap is concave.Asuming I pay one CMS coupon and hedged it by a relevant standard forward swap.Then I presume the following profile:forward s...

Aha! Thanks a lot!

Guys,If anyone knows, why people call vol sensitivity vega, please let me know why.I would like to know where it comes from and why people are using a non-Greek, unlike delta, gamma and rho.I know some call it kappa though... Thanks in advance,

<t>I would think K is mistakingly used in 2 meanings:-)Anyway how does the K below are decided? the initial Spot? atm forward? or some calculation ...a(i)=1 if Si>KQuoteOriginally posted by: phipjePayoffUp = 1/Na SUM a(i)*(log(Si/Si-1)^2-K^2)a(i)=1 if Si>Ka(i)=0 if Si<KNa = SUM a(i)minusPayoffDo = 1...

Thanks. Could you specify the payoff please? Is it a tradable product? Have you ever seen it in the market?

HI,Does anyone know products whose characteristic is similar to risk reversal but doesn't require any delta rebalancing?Thanks in advance,

Guys,Could you explain what it is or tell me the relevant papaers/articles. Thanks.