I have the formula for pricing asian options with set periods, the Curran approximation. My issue is how to calculate the greeks during the averaging periods. Does anyone have any ideas/hints/formulas for calculating gamma, vega, delta and theta?

Id have to add that I have never seen a good book on commodity derivs.

In europe the biggie is Eurostoxx50. Then FTSE(UK), DAX(germany), CAC-30 (french), ZMI(swiss), and then there is an italian one which I dont know the name of....

<t>Ok, let me get this straight, you have 3yrs of day ahead data? I would not try to come close to estimating forwards volatility off of day ahead volatility. In fact you cannot even use standard methods to calculate volatility for day aheads, mostly because of the within week and within month price...

Thank you very very much Chuckci!Just what I was looking for.

Sorry... i'm lazy and I make way too many mistakes in Calculus to start differentiating things! Please help the calculus stupid.

Does anyone have the formula for dDelta/dtime?

<t>Close but no cigar!!!I had a chat with one of our quants and this is what he says..Here is the payoff: MAX(U1 * NOK/EUR - U2 - X,0) The U2 and Strike are in Euros. My quant says to just sum the vols like so sig spread = (sig1 + sig(n/e))^2 + sig2^2 - 2 rho sig2 *(sig1 + sig(n/e)). But I do not th...

OkTwo underlyings, Two Currencies. Non-financial payoff, exercise into the underlying. Anyone have any ideas on how to value such a product?

This is probably a tad junior for this place, but I am looking for 2 methods:1. To calculate the distribution of an arithmetic average.2. To calculate the volatility of an arithmetic average.Can Anyone point me to a good reference on this?

<t>Let me explain why this is not arbitrage a little further.If I am long options at one level and short them at another, I have different exposures as the underlying moves. As the underlying moves to the higher strike, where I am long, I get +gamma and +vega, lets say that the two options are so fa...

I believe that in the real world, volatility is highly space dependent. Assuming a BS world is not real.

Does anyone out there know what a himalayan option is? What the payoff is or how you would price such an option?

<t>Another thing. If I collect a premium above the difference in the strikes to buy a call spread, no hedging is needed and it would never, ever occur in the real world! Kind of a pointless topic. And selling OTM for highervol than an ATM is not arbitrage. Imagine a situation like the following:I se...

Simple....Take the break-even movement.. .61 Divide by the underlying price. Then multiply by 15.87 ot sqrt(252). That will give you the vol corresponding to a b/e move of .61 per day. If the asset value is say, 25. (.61/25 ) * 15.87 = .387228 (annualized vol)