<t>to elaborate a bit more on wat paul said, cross gamma is important for the trader because in many hybrids products, the value in terms of higher coupon comes from huge cross gamma. So when pricing these products trader needs to analyse how much of this cross gamma he/she can capture in the market...

<t>Ok first to answer your question, Yes in your case Bear stearns has the right. In case only BS has the right.More insight into it.It is like this. you are the investor and BS is the issuer. means your money went to BS who needed the money. So BS is the one who will decide whether he wants to pay ...

<t>hellofader option is an option where the notional accumulates according to a certain condition on FX but the exercise decision is made at maturity.For e.g if I have a daily fader call at strike 105 for daily amt USD 1000 on condition USDJPY > 100 and the tenor of the option 90 daysthen I accumula...

hi yes you will be underpricing but the idea is that the px is lower because the trader needs that margin to manage the risk in smooth manner if the spot does really go close to the barrier.

barrier shifting is done for digital because that is the way to hedge in the market. you must be aware of call spreads to hedge a digital right?

can u please mail me a copy at upadrasta@hotmail.com

dear frndoptions are not just for leverage. a spot/fwd combo instead of options will not protect ur downside. whereas options have limited downside to the extent of premium. Also if u r trading options u r also betting on volatility whereas spot is a purely directonal bet

hi frndi am not able to run ur exe. I have java on my machine. but when i run the application by saying java asian option.exe. It gives me an error.can you pls help on thisregardsSiva

frnd up and in + up and out = vanilla

<t>HiI am trying to price asian currency options using monte carlo simulation under lognormal assumption. I have priced a six month option with average of monthly fixings.I simulated each monthly fixing using the implied vols for each month and then took an average of the 6 monthly simulations and t...

hi patcan you send me the paper. my email is sivakumar.upadrasta@icicibank.comthanksSiva

I am trying to price caps on 12 m libor. Market quotes from reuters are available on 3m libor. How to calculate vols on 12m libor from these. please let me know