Surely someone must have an idea.....??? Many thanks

<t>Does anyone know of any papers or work on incorporating correlation skew into pricing models on baskets of equities. There are a number of equity basket options whose pricing is very sensitive to correlation, i.e. barriers which are triggered by the best/worst performing of a basket of equities.....

<t>I have two time series: the FTSE 100 and the S&P 500 stock indices. I want to compute their correlation coefficient but I am concerned about the unsyncrhonised nature of the data, since the FTSE100 is the London market and the S&P in the US - the prices of the latter is lagged by 5 hours....

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<t>Can someone expand upon exactly what the market price of risk (q) is. In the context of a single factor interest rate model, I think of it as:q = (mu - r)/sigma^2 i.e. the excess rate of return per unit risk. But I am confused by the some of the literature I am reading. It suggests that q is dete...

<t>Generally bonds do not have a negative coupon; although I believe that a convertible issued by GenRe a few years back did have an effective negative coupon due to the cost of the call on gen re stock. Looking at your question, if you assume that the bond pays back a 1000 upon redemption then the ...

Thanks

I understand there is a simple pricing spreadsheet (by Haug) of about 40-50 different vanilla and exotic options knocking available somewhere on the web. Does anyone have it or know where i can locate it.ThanksSunil

I tried that but did not find anything useful. Was there a specific paper you had in mind?

<t>I am doing some work to price a partial barrier product on a stock price with volatility "sigma". I am trying to work out the probability of not hitting a defined barrier H given the current stock price is St and the stock price at the end of the period is ST. For a single barrier I calculate thi...

Thanks for that spacemonkey

sorry, should have added that a is not 0 and b and c are constants>0

If dx(t)=(ax(t)+b)dt+cdW(t) where dW(t) is the brownian motion processI know the E[dW(0)]=0, but does the expectation, E[x(0)]=0??

I did have a go at this, using tower's law....but cam unstuck. fyi. tower's law states:Ep[Ep(x|G)|F]=Ep[x|F]

<t>Could someone help me prove equation 1:For any adapted process {x(t)} and any 0<=s<=t<=TEp[z(t)x(t)|F(s)] -------------------- = Eq[x(t)|F(s)] [1]Ep[z(t)|F(s)]where z(t) is the likelihood ratio process defined as Ep[q/p|F(t)] F is a filtration processand z(t) is a positive P-martingaleMany thanks...