<t>Hi All,I always had the impression that for a Quanto zero strike call the price is not sensitive to EQ-FX correlation and volatility of the underlying. However I found that the price is sensitive to both EQ-FX Correlation and volatility of the underlying. Does anyone have a good explanation to th...

<t>QuoteOriginally posted by: slegerSomething is not clear in what you say on computing the volatility of the series. You should do this by calculating the st dev of log returns and not of prices.Then you should generate enough prices to have it converge. The convergence speed should be in sqrt (1/N...

Thanks alot for your info.It makes alot of sense.Brian

<t>the random numbers should not matter as i am running 25000 paths.i suspect it is the standard deviation which causes this error. this is because for a FV of 100 the 2 methods match but the further we go away from 100 the higher the standard deviation and the bigger the error between 2 methods.has...

<t>I am trying to price a structure using monte carlo. the idea is that we input the coupon and simulate the fair value.Now, I changed the logic of the payoff where we now input the FV and simulate the coupon. (everything staying the same)However my results are not matching. ie by subbing the Coupon...

<t>Hi,I created a time series by modelling the returns (1+DRIFT*TIMESTEP+VOL*SQRT(TIMESTEP)*RANDOM) of a stock.Then I tried to see whether the actual volatility of the time series would equal to the volatility I used to model the time series.However they are not equal, does anyone know why this is t...

What are the best houses for equity exotics? I know SG and BNP are good but how about the others?Thanks very mcuh for your help.Brian

<t>Hi,Does anyone know how you can calcuate the forward of a worst of (eg. for 2 stocks) ?Normally I just do it on the Monte Carlo but I heard there is a formulae where you can actually work it out on paper.What I am interested in is to look at the relationship between the correlation and its forwar...

<t>Hi,Does anyone know how you can calcuate the forward of a worst of (eg. for 2 stocks) ?Normally I just do it on the Monte Carlo but I heard there is a formulae where you can actually work it out on paper.What I am interested in is to look at the relationship between the correlation and its forwar...

<t>Thank you for your reply.In your last example, would the objective be to have a hedge as cheap as possible?What if you want all the greeks hedged? Say at the moment I am delta hedged but short vega, i would like to hedge my vega so I go and buy straddles (long X calls, X puts. with a strike = for...

<t>1) How do you physically hedge Vega, Gamma, Theta and Rho? Do you buy and sell straddles? are there any other strategies? 2) I was told that Monte Carlo is not capable to price path dependent options but I dont exactly know why. Can someone explain? Finally are there any good books (not too techn...