Don't think you need to involve options here. I think by implied financing of futures you simply mean the implied interest rate at which futures trades compared to spotcheersAndrew

<t>Good day to everybody.My question doesn't deal with quantative finance directly, but you - derivatives people - might know where to adderss me for useful links or papersWe plan to implement portfolio margiing in our relations with clients in derivatives (i.e. collateral is taken for the whole por...

<t>Good day everybody!I was told to make up a model that will forecast equity volatility for different periods (1mth. 3 mth, 6 mth and 1 yr) using GARCH and Monte Carlo simulation. In fact what i have to do is to write the whole algorythm for our IT guys so that they will automate the whole process....

<t>QuoteOriginally posted by: AaronYou have to give us more details about the type of option and your hedging.If you buy a vanilla European call option and don't hedge it, it's easy to lose money even if realized volatility is higher than the implied volatility at which you bought. All it has to do ...

<t>Hello everybody!I've come across a problem: i've bought some vol, during life of option realized vol was higher than the IV that i paid, so i got some profit from my long gamma. But during last 7-10 days my theta was so big that it has offset all my profits gained in the previous months. As a res...

<t>Aaron, thanks for reply. As for risk-free-rate: i use my cost of funds, that is the rate at which i take money form my treasury. It seems quite logic to me since for me fair future price will be the one that will make equal two variants - buy spot & pay for funds or just by futures. Thanx onc...

<t>Thanx for answers. It seems that I didn't make the situation clear enough. The underlying for april option is june futures, that must incorporate somehow the divs. But the market for these futures isn't liquid enough and their market price is determined mainly by market-makers and the supply and ...

<t>Dear equity derivatives experts!I have the following situation: there's a June futures on stock, with divs cut off date in May, and option on that futures with expiry in April. How can I estimate the value of april options? I do know my risk free rate, time to expiry and volatility. I have some e...

<t>Hi everybody! Running a book i found myself being rather long in puts and short in calls and thus with big negative Rho.What ways are there to hedge my risk as i'm afraid that interest rate can go higher from nowdays lows?One way i think of is going long on some kid of interets rate insrtument. A...

<t>Thanks for reply Aaron. Just to clarify: I count FV of divs at expiry and add the result to strike price?my calculations show that changing exercise price to 103 will result in option prices 4.21 call and 5.93 put - that is rather considerable change from 5.59 & 4.35 as it was before. If the ...

<t>Please let me ask one more question about dividend impact on option pricing.Suppose i use common BS model to evaluate Call and PutSpot price is 100Strike is also 100Time to maturity 3 months (0.25 yr)My vol expect 25%and Risk free rate is 5%Prices should be as following 5.59 for call and 4.35 for...

Hello everybody,I'm trying to manage GARCH for volatility forecast. But as it seems to me i can predict only the following day deviation. What can i do to estimate the volatility of the next 30-, 60-, 90-days an so onIs it possible at all?Thanks in advance.Andrew.

<t>QuoteOriginally posted by: exotiqIs there a reason I am unaware of why phones in Russia suddenly can't connect to California? I thought the cold war was over Yeah, luckily the cold war is over and we now even know what options are and how to trade 'em.But unfortunately time difference remains: wh...

<t>Hello everyone!I need a simple add-in for excel to calculate exoctic options (asians, digitals etc) prices and sensivities.Could anyone recommend a good software producer?I've come across some: Derivicom software and J&E Research, but they both don't answer my emails and i can't phone 'em as ...

<t>What does "cash equivalent delta" show? If "share delta" itself shows a change in value of option portfolio for one underlying when it makes a move of one point then what gives us multiplying it by share price?I suppose it might make sense weighting share deltas by share prices or smth like this ...