<t>Hi It's that means that the single jump + diffusion may not be sufficient to explain the market price ? If that's the case, can someone kinldy suggest any materials or topics to study?My purpose is to catch the market price of emergent ccys option (KRW/TWD/MYR.....). So any suggestion on this top...

<t>Hi Alan,Thanks for your reply.Frist I calibrate Merton model to PV market and got four parameters. then I use them to price exotic option, say one touch.However I found that it seems the resulting price tends to be lower than theoretic value. For example , if I price a one touch with TV = 50% , t...

<t>Hi Anyone has ideas of hedging a book with jump diffusion model?I have calibrated the Merton model to a emergent ccy option market, and use the numerical method with resulting parameters to pricing exotic option. However I'm not sure with the meanings of the exotic price I got from Merton model.T...

<t>Hi jonmi,Thanks for ur kindly reply. Actually a UBS trader told me their european option positions are MTM with ATM volatility in spite of market traded with a smile. I am puzzled about that . Recently I am looking into exotic option pricing, the same question raised again. Since it's much compli...

<t>HiI'm confused with the question listed on topic. Our FX exotic option traders want me to provide a model which can catch market quote well. Once they get a model consitsent with market , they can pricng/Hedging/MTM under this model. Therefore, I was asked to look into Superderivatives since thei...

<t>HiFor payout options like OT/DNT..., they all have a extremely high gamma when spot is close to trigger.Gamma is so huge that we can't make dynamic delta hedge. The most often way trader may adopted is long / short european option to lower the gamma risk..but if the trigger being triggered, trade...

Hi PutorCall,very,very clear....thanks for your kindly help. I've got it.

Hi ppauper,Thanks a lot. I have thought about your advice,but can't really figure it out.Can u kindly give me more details about that ?I really appreciate your help.

hi ppauperthanks for ur reply, but the 'X' I meant is "strike".The spot is of course within the LoTrigger and HiTrigger.But when the strike is outside the triggers, I'm not sure if Ikeda's model still work.

<t>Hi,I'm looking into pricing of double barrier options. Now I use Ikeda and Kunitomo(1992)'s model.However the model seems to be vaild only while LowTrigger < X < HiTrigger.If I'm interested in pricing a double barrier option with X outside the barriers, say LT<HT<X or X<LT<HT.Which fomula should ...

hiCould someone kindly suggest any meterials for numerical method to jump diffusion model?I'm thinking about finite difference method, but have no idea how to implement in JDM.Thanks a lot!

<t>Hi Athletico,Thanks for ur reply, I understand the case u mentioned which leads to long gamma and win decay, but my confusion is on market gamma and modify decay but not theoretical ones.Our traders told me how they look at their spot risk : they run the spot ladder report which show P&L chan...

<t>Hi,In BS's world, we all know there is a reasonable ratio between theoretical gamma and decay, which is 0.5*vol^2*S^2. Some trader may call it "alpha". However,in real world, most traders use market (shradow) gamma which is discrete computed insted of theoretic gamma. Also, they may be interested...