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## Search found 27 matches

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February 21st, 2009, 6:43 am
Topic: EDT
Replies: 1
Views: 42822

### EDT

February 21st, 2009, 6:41 am
Forum: General Forum
Topic: EDT
Replies: 0
Views: 41998

### EDT

December 17th, 2008, 11:02 am
Topic: cLOSED FORM solutions for down & in put
Replies: 1
Views: 45786

### cLOSED FORM solutions for down & in put

Hi i am looking for some article on closed form solutions of down & in put options (continuos/american barrier)Thx
December 6th, 2008, 5:59 am
Topic: Superbucketing a structure
Replies: 1
Views: 45445

### Superbucketing a structure

<t>In general I can say about the skew exposure of a structure by looking at vega with spot.How can i imagine its exposure with vol term structure.Assuming an up and out call (s=k=100, barrier =120), 1 yr maturity,What is the exposure of change in 1mnth vol relative to change in 12mnth vol ? Do we w...
December 6th, 2008, 4:21 am
Topic: relation btw vol of vol & vega convexity
Replies: 0
Views: 45465

### relation btw vol of vol & vega convexity

December 6th, 2008, 4:15 am
Topic: Skew in pricing VIX options
Replies: 5
Views: 48980

### Skew in pricing VIX options

<t>Quote the implied vol on Vix options would have positive skew as the return distribution of the Vix index is expected to have a positively skewed distribution - reflecting that sudden "surprise" moves tend to be an upward spike in the Vix.I agree, and this skew that you are talking abt is volofvo...
December 4th, 2008, 4:42 am
Topic: Skew in pricing VIX options
Replies: 5
Views: 48980

### Skew in pricing VIX options

<t>QuoteThe IV Call skew of Vix options is typically correlated with the IV Put Skew of the SPX. What is The IV Call skew of Vix options ? volofvol level w.r.t vol ? are you talking abt the "vol of vol" skew term structure ? Its not very clear & intuitive ALso what i understand is that its like ...
December 3rd, 2008, 10:11 am
Topic: Skew in pricing VIX options
Replies: 5
Views: 48980

### Skew in pricing VIX options

How does vol skew affect pricing of options on VIX.I guess volofvol is the only significant parameter.Cheers
November 8th, 2008, 12:57 pm
Forum: Technical Forum
Topic: forward start option
Replies: 19
Views: 179704

### forward start option

1 Y vol, Lot of banks have taken a hit in this regard. I guess you are working for one of those.
September 1st, 2008, 7:05 am
Topic: geometric average-variance dispersion
Replies: 1
Views: 49601

### geometric average-variance dispersion

What is geometric average-variance dispersion trade ?thx
July 31st, 2008, 10:25 am
Topic: vega profile of "umbrella" structure ?
Replies: 1
Views: 50443

### vega profile of "umbrella" structure ?

payoff graph is more steeper on the left side of 'perf =1' than the right side....increasing volatility increases the expected payoff for lesser spots, still the graph that i.e. vega v/s spot is the other way round ..
July 31st, 2008, 9:04 am
Topic: vega profile of "umbrella" structure ?
Replies: 1
Views: 50443

### vega profile of "umbrella" structure ?

payoff = (1-perf)^2 /(1+perf)perf = spot/ strikeHow would the vega v's spot profile look like ..increasing with decreasing slope/....decreasing with increasing slope ????
July 31st, 2008, 9:00 am
Topic: Risk profile of auto-callable
Replies: 1
Views: 56994

### Risk profile of auto-callable

June 29th, 2008, 5:40 am
Forum: Technical Forum
Topic: pricing an option to increase the notional
Replies: 1
Views: 51806

### pricing an option to increase the notional

assuming a forward starting call, if the client has an option to increase the notional till its struck, how do we price this, how do we factor in an extra premium ??Cheers
June 29th, 2008, 5:36 am
Forum: Technical Forum
Topic: Hedging Cliquets and other exotic options
Replies: 19
Views: 191667

### Hedging Cliquets and other exotic options

<t>Hedging Cliquets:equivalent to series of fwd starting calls; lets say striking at t1 & maturing at t2.Pricing: I can find the fwd local vol surface if i know the vol surface for 0->t1 & 0->t2, Reason I am asking you to price it Local vol, because its a cap floor cliquet, something like a ...
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