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by micha12
June 8th, 2015, 12:23 pm
Forum: Programming and Software Forum
Topic: Fifteen years from now: can you predict the Software Landscape in anno 2030?
Replies: 45
Views: 8807

Fifteen years from now: can you predict the Software Landscape in anno 2030?

I am sure the Wilmott forum will have the same old-fashioned design in 2030 :)
by micha12
June 8th, 2015, 11:46 am
Forum: Programming and Software Forum
Topic: OptionCreator.com: need advice
Replies: 0
Views: 2769

OptionCreator.com: need advice

<r>Hi all,I am writing here to get some advice and help.We recently launched a website designed to create & analyze option strategies online:<URL url="http://OptionCreator.comHere">http://OptionCreator.comHere</URL> is how it works. You create the options strategy:And then you see the options st...
by micha12
June 5th, 2015, 3:31 pm
Forum: Student Forum
Topic: Why puts can have a negative time value?
Replies: 6
Views: 3406

Why puts can have a negative time value?

Great and easy explanation, thank you!
by micha12
June 5th, 2015, 1:35 pm
Forum: Student Forum
Topic: Why puts can have a negative time value?
Replies: 6
Views: 3406

Why puts can have a negative time value?

Could you give a small numerical example to make it clear?I don't exactly understand how a put becomes a zero-coupon bond - if the payoff of a put is not deterministic.
by micha12
June 5th, 2015, 11:42 am
Forum: Student Forum
Topic: Why puts can have a negative time value?
Replies: 6
Views: 3406

Why puts can have a negative time value?

<t>Some time ago I discovered by chance that put options can have a negative time value, which can be easily seen on this graph:Note: this is a European put option.Call options cannot have a negative time value, they are always priced above their intrinsic value.Is there an easy and intuitive explan...
by micha12
July 8th, 2009, 10:43 am
Forum: General Forum
Topic: Applications of the option pricing theory
Replies: 6
Views: 37823

Applications of the option pricing theory

<t>QuoteOriginally posted by: hayes-Implied Vol-Vol Smiles-Approximate hedge ratiosWell, those have not been mentioned probably because they fall into group 1).I was interested in "original", non-standard applications the options theory, maybe even those not closely related to the financial field. O...
by micha12
July 1st, 2009, 11:05 pm
Forum: General Forum
Topic: Applications of the option pricing theory
Replies: 6
Views: 37823

Applications of the option pricing theory

<t>The Black-Scholes option pricing theory has several fields of application.1) The pricing of options (financial contracts) - which is the primary field of application.2) The pricing of corporate liabilities in corporate finance.3) The pricing of the so-called "real-options" (though I am not very f...
by micha12
June 24th, 2009, 11:46 pm
Forum: Student Forum
Topic: Bull Call Spread sensitivity to volatility
Replies: 4
Views: 38859

Bull Call Spread sensitivity to volatility

<t>This explanation relies on the strategy being composed of 2 call options with 2 strikes.But what if I show you an arbitrary payoff function, such as “Payoff (S) = sin (S) + cos (S)”, and ask you to analyze whether it is long or short vol? You do not have strikes and vanilla calls, you just have a...
by micha12
June 24th, 2009, 5:17 pm
Forum: Student Forum
Topic: Bull Call Spread sensitivity to volatility
Replies: 4
Views: 38859

Bull Call Spread sensitivity to volatility

<t>If one draws a graph showing how the value of a bull call spread depends on volatility, one would find that at first this dependence is positive (the greater the volatility, the greater the value of the spread), and then it becomes negative (the greater the volatility, the smaller the value of th...
by micha12
June 24th, 2009, 5:12 pm
Forum: Student Forum
Topic: CDF & PDF of stock price (geometric motion)
Replies: 1
Views: 37806

CDF & PDF of stock price (geometric motion)

<r>Could anyone please provide me with the formula of the cumulative distribution function of the stock price (geometric brownian motion)? So that one could calculate the probability that the stock price rises by more than 20% in 1 year, given 30% volatility and 10% drift, for example.I have only fo...
by micha12
May 12th, 2009, 10:55 pm
Forum: Programming and Software Forum
Topic: MUREX, Summit, Sophis, Calypso, etc - Need Advice
Replies: 13
Views: 110238

MUREX, Summit, Sophis, Calypso, etc - Need Advice

<t>Hunting, have a look at our font-office and risk-management system PLaNETa.Unfortunately, information on our English-version website is a bit out-of-date. At the current time, PLaNETa supports spot and forward trades, vanilla and exotic options on equity (asian, barrier, lookback), binary options...
by micha12
May 12th, 2009, 10:28 pm
Forum: Programming and Software Forum
Topic: Freeware Exotic Options Calculator
Replies: 7
Views: 47434

Freeware Exotic Options Calculator

<t>Dear those who downloaded the calculator, I would be grateful if you could write a few comments - by either sending us an e-mail or just writing a short message on the forum. Did you like the calculator? What do you think needs to be improved? What are the next most important features that we sho...
by micha12
May 1st, 2009, 8:20 am
Forum: Programming and Software Forum
Topic: Freeware Exotic Options Calculator
Replies: 7
Views: 47434

Freeware Exotic Options Calculator

QuoteI wrote a post on my blog and put the link at Exotic Options Calculator, please tell me if you are unhappy with that.It's a great pleasure for us - thank you, tigerbill!
by micha12
April 28th, 2009, 3:57 pm
Forum: Technical Forum
Topic: Tool for pricing arbitrary path-dependent options
Replies: 1
Views: 39992

Tool for pricing arbitrary path-dependent options

<t>We are thinking of improving our freeware exotic options calculator (details here) by giving the user the possibility to manually enter an arbitrary path-dependent payoff function and price it using Monte Carlo simulation.For example, if the user wants to price, let's say, an option with a payoff...
by micha12
April 16th, 2009, 11:04 pm
Forum: Programming and Software Forum
Topic: Freeware Exotic Options Calculator
Replies: 7
Views: 47434

Freeware Exotic Options Calculator

Thank you for your comment, jdln
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