Serving the Quantitative Finance Community

Search found 6 matches

by snezana
February 7th, 2007, 10:07 am
Forum: Student Forum
Topic: Moneyness
Replies: 0
Views: 79646

Moneyness

Hi, I was wondering how does one calculate 'moneyness' for different barrier options?How are the barrier options usually quoted in the market?Many thanks.
by snezana
February 6th, 2007, 8:57 am
Forum: Technical Forum
Topic: Barrier Options and Vol smiles
Replies: 3
Views: 84949

Barrier Options and Vol smiles

Hi, I was wondering how does one calculate 'moneyness' for different barrier options? Take your example of the barrier - what is its moneyness?Many thanks.
by snezana
December 14th, 2006, 9:38 am
Forum: Student Forum
Topic: Probability of a cross
Replies: 11
Views: 86510

Probability of a cross

What is the probability of the price crossing a different type of a barrier (not just fixed) over the next time period 0..t ?Any closed form solutions for that ? For example if the barrier is defined to be the moving average of the underlying time series...Many thanks!
by snezana
December 6th, 2006, 10:35 am
Forum: Student Forum
Topic: Probability of a cross
Replies: 11
Views: 86510

Probability of a cross

Excellent - thanks! This answers my question! Do you have a reference for this, i.e. how is it derived?
by snezana
December 6th, 2006, 9:10 am
Forum: Student Forum
Topic: Probability of a cross
Replies: 11
Views: 86510

Probability of a cross

What is the probability of the price crossing a fixed barrier over the next time period t ?What does it depend on?
by snezana
March 29th, 2004, 11:40 am
Forum: General Forum
Topic: implied volatility
Replies: 2
Views: 189944

implied volatility

Where can one learn about different implied volatilitilities? Any avilable online?Kind regards,