<t>searched in some detail. could not find a precise answer..so here goes..for a long down and out put EURUSD Strike 1.36 (assuming atm) Put which KOs at 1.30I would think the long holder of this Down and out Put will be short delta through the barrier as a hedge (to protect against the change in th...

does anyone have any good / intuitive reading material on options on variance ..like knock in variance etc more from a risk analysis standpoint.any experts out there who could share their experience on these derivatives ? would be much appreciated

I also advice google.com if youre lazy to think through your questions before you ask them here..http://optionsweetspot.com/

what do you think the answer is ? When is the juice of an option sweet ?

cheers MCarreira

<t>QuoteOriginally posted by: daveangelI wasnt sure what Taleb meant by this but I played around with an option and I think he is trying to explain the equivalence between vol change and time shift on delta. For example, 1-year 20 delta call at 16% vol (spot = 100, strike = 115.85) has a delta of 20...

the solver in excel is quite weak for some large scale optimisation using the least squares algorithmscould someone please tell me if there are any external vendors that sell some quicker and more robust solver

<t>Stock Dividends and Volatility Landscapes is the post from stampeding,collector,Paul , Aaron and many other on this topic. not the precise topic but linkedfomisha if you have a down and out put 100%-70% OR a down and in put 100%-70% would you say that this derivative has a higher proba to hit in ...

<t>I read up the excellent thread by stampeding,collector,Paul , Aaron and many other on this topic. It is mathematically well proven and understood that under proportional dividends Barrier Options are more likely to hit than under cash (discrete) dividends. I get the probability math, the Bayes th...

<t>this is total meaningless noise..I was discussing this issue with another member in the forum and we both agree that this is but a political ploy. Abu D is sitting on more than a trillion $ of assets. They want the world to recognise how much s h i t the emirate of dubai is in and use this as a p...

Cheers M. To the rescue as always !

<t>Hi Collector - was going through your Complete Guide to options pricing formula book (2nd edition) searching for a closed form formula for ONE TOUCH Options (American Digital) in the Equity derivatives space. I couldnt manage to find anything OT specific. I saw a lot of DBLE BARRIER stuff and I p...

Thanks Martinghoul. I dont have access too but I think I get the idea as to what happened. on a separate note (and given the subject of this discussion is a rather broad based one) anyone heard about houses / funds etc using co integration models to price and mark spread options ?

after all the 'bankers and their incompetence bashing' the government has decided to price it themselves. I was reading the link Martinghoul recommended. Guys could any one of you explain the Buoni Postali story. What happened there ? did someone major lift them left and right ?

maybe HMT needs it to buy all shares in RBS and Lloyds ! Martinghoul please check your pm