<t>thanx . agree with you, i was actually regressing them in actual terms to look for relative valuation.However it put me in doubt while working on a vega spread. how to make position PNL linear function of spread move?suppose S&P 500-eurostoxx spread is 2 points wider above fair value and one ...

<t>Hi ,need suggestion/guidance:will it be correct to compare/regress implied volatility of indices with different underlying currency in absolute terms. for example , comparing eurostoxx50 vol (eur) or s&p 500 vol (usd) with nikkei vol (yen) in absolute terms or one should first convert all the...

<t>interest on the strike:you will have to pay K to buy the stock which is worth S when you exercise,you could have earned interest on this amount if you have chosen not to exercise. so this is what you loose apart from time value and dividend is what you get.so, the inequality , exercise at t1 only...

<t>then am i right in thinking that the price drop can be anything but definitely their will be range in which it will lie.lower bound = interest on strike ( once you exercise u will have to pay K , so u definitely loose that)upper bound = dividend ( it can't drop more than the current dividend amou...

let me re frame the question i m trying to answer:what should be the drop in price of an american ITM call (delta 100) expiring at T after the first ex -dividend date t1 if there are multiple dividends d1,d2,d3 ..dn at dates t1, t2,t3..tn during the life of option.

<t>Hi all,w'll be glad if anyone can help me find an answer.recently i had some confusion calculating the drop in the price of american deep itm calls (early exercise candidates) after the first ex dividend date if the there are more than 1 dividend during the life of option. i thought the drop shou...

<t>hi all,i have a question related to implied volatility of call and put .i m getting different implied volatilities for call and put options (european) with same strike and expiration .i) why they are different ? as per the no arbitrage rule, call and put options with same strike and expiration sh...

<t>Hi all,Being interested in Financial markets & mathematics,I was lookingfor a quant role in a ibank.Recently i have got an offer to work as an option market maker/trader with a US based prop trading firm.I wanted to know , how the 2 jobs compare:Trader derivatives ( prop trading firm or ibank...