<t>Hi,When using MonteCarlo to price continuous barrier options one needs to do a correction due to the fact that simulaiton is discrete whereas the monitoring is continuous.There are several ways to do this. One is the Broadie-Glasserman-Kou(BGK) barrier "shift" approach.My question is if anyone ha...

I used the volatiltiy skew from the option expiry at T for all the time points between now and expiry.I.e. if my ATM vol at T is 25% this value was used for now<t<T fro the ATM strike...and 90ATM% vol at T is 28%, then this value was used for now<t<T for this strikeCheers,K

<t>Hi,The question is with regards to what implied vol skews to include in pricing using local volatility. Assuming I would like to price an option maturing at T, looking in the the litterature the conclusion seems to be that one has to use vol points/vanilla prices for various maturities. The last ...

<t>Hi,The question is with regards to what implied vol skews to include in pricing using local volatility. Assuming I would like to price an option maturing at T, looking in the the litterature the conclusion seems to be that one has to use vol points/vanilla prices for various maturities. The last ...

Already gone through the code here with no luck.Help help will not help since they do not support python.

<t>HiI would like to extract historical data from Bloomberg into python for further processing.Using on old thread on the forum here I am able to get real time data for various fields. However, the code for historical data does not work.Is there anyone who can help me with retrieving historical data...

Geske, Robert, The valuation of compound options, Journal of Financial Economicsgives the price of an european option on a european option in the BS framework.

<t>The "underlying" is the european call option. The issuer has the right to call this option, either at any time, i.e. american, or at pre-specified dates, i.e. bermudan, paying a penalty fee.Since the option does not pay dividend it should not be optimal to exercise it early. So one should be able...

No ideas???

Hi,Does anyone know any good paper(s) with regards to pricing a callable option on equity?The option is European. The callibility feature can be either at certain discrete time point or continuous.Cheers,K

<r>Thanks rmeenaks!Really nice and extensive documetn. However, with regards to the dynamic hedge they have a couple of "generic" sentences ... I guess they dont wanna give away hard earned knowledge <E>;-)</E> Corridor variance swapsI know that for pricing one easy way is to take strike range from ...

EndOfTheWorld Any chance you could upload this document or provide a link where it can be downloaded. I googled it but I could not find anything.Thanks./K

<t>The ISDA states that if no specific value is given than the cap is 2.5*strike.The cap can be priced in , from the party going short, buy buying a call on variance with option strike =2.5*variance strike.Getting back to the original question: is there any one who knows about some articles/document...

<t>Hi YellowLemonI am a little surprised by your response. It is hard to find a optin with strikes between 70%-130% ATM for indices. How do you find an optin with strike 5% or 240%???I understand that you can have your theoretical volatility curve in that range and use it for pricing. However, these...

<t>HiMy question is with regards to practical hedging of “vanilla” variance swaps.I know that in theory on could hedge statically with a portfolio of calls and puts (Derman/Carr papers). However, I have been told that in practise one only buys 2-3 options around ATM and delta hedges these options da...