<t>Hello all, I understand this thread is old so i hope someone will answer:Is it the case that the moneyness is calculated as Strike/spot for call options and as spot/strike for put options?Or is the moneyness calculated alsways as spot/strike?I have found contradicting infomation but not sure what...

Yes this would have a digital payoff. my impression is that trees are used mostly (in practice?) when pricing barrier options.

i would also think that the definition implies either side:Baseball Option: A barrier option knocked out after the outstrike boundary has been touched for the third time. The name comes from the baseball phrase “three strikes and you're out”.

Quantie, I would assume from either side, but i have no more information on these. Assuming that can be touched from either side, would you know any source for more information?Thanks

i could not find anything on the pricing of these options. Are they known with another name? Does anyone know where can i find an article / book that will mention a pricing methodoligy on those? any advice appreciated.

would it be possible to use the barrier option model to approximate the value of a baseball option? The question off course is how do you allow (or set a trigger) for the option to hit the barrier 3 times! Any ideas welcome. thanks

Does anyone has any information on my question below please?thanks

<r>you will be able to find an extensive conversation about this in Google answeres:<URL url="http://answers.google.com/answers/threadview?id=564840or"><LINK_TEXT text="http://answers.google.com/answers/threa ... d=564840or">http://answers.google.com/answers/threadview?id=564840or</LINK_TEXT></URL> ...

hello, Does anyone knows how are these derivatives priced, or where can i find documentation describing the pricing process?thanks

Hi J I have the relevant article in pdf and cannot upload. you can find it though in Gloriamundi.org. The title is : How accurate are Value-at-Risk Models at commercial banks? by Jeremy Berkowitz and James O'BrienI hope this helps

<t>the reduced - form GARCH approach applies a univariate GARCH model direclty to portfolio P&L data. So, instead of taking the lower percentile of the empirical distribution a GARCH model is applied to portfolio returns using formula : VaR(a,b)=Za*P*s(standard deviation) where Za is the standar...

Do you know if the opposite holds for any of the exams? ie does PRM exempts you from any of the CQF (or any of the other cerificates)exams?

But, you are probably right ... about holding both of qualifications..

<t>According to 'Guide to the Professional Risk Manager Exam' that i downloaded from the PRMIA site: Cross-Over Requirements for other DesignationsThe program also recognizes the achievements of those who have other professional designations and gives partial credit towards completion of the require...

Hi, I have sent two e-mail to PRM regarding this question and still did not get an answer. So, does anyone know if you are exempted from any of the FRM, CQF exams if you are a PRM holder? I am aware that the opposite holds.thanks