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by nik154
February 21st, 2009, 6:43 am
Forum: Trading Forum
Topic: EDT
Replies: 1
Views: 42762

EDT

by nik154
February 21st, 2009, 6:41 am
Forum: General Forum
Topic: EDT
Replies: 0
Views: 41948

EDT

by nik154
December 17th, 2008, 11:02 am
Forum: Trading Forum
Topic: cLOSED FORM solutions for down & in put
Replies: 1
Views: 45737

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
by nik154
December 6th, 2008, 5:59 am
Forum: Trading Forum
Topic: Superbucketing a structure
Replies: 1
Views: 45389

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...
by nik154
December 6th, 2008, 4:21 am
Forum: Trading Forum
Topic: relation btw vol of vol & vega convexity
Replies: 0
Views: 45423

relation btw vol of vol & vega convexity

by nik154
December 6th, 2008, 4:15 am
Forum: Trading Forum
Topic: Skew in pricing VIX options
Replies: 5
Views: 48883

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...
by nik154
December 4th, 2008, 4:42 am
Forum: Trading Forum
Topic: Skew in pricing VIX options
Replies: 5
Views: 48883

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 ...
by nik154
December 3rd, 2008, 10:11 am
Forum: Trading Forum
Topic: Skew in pricing VIX options
Replies: 5
Views: 48883

Skew in pricing VIX options

How does vol skew affect pricing of options on VIX.I guess volofvol is the only significant parameter.Cheers
by nik154
November 8th, 2008, 12:57 pm
Forum: Technical Forum
Topic: forward start option
Replies: 19
Views: 179469

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.
by nik154
September 1st, 2008, 7:05 am
Forum: Trading Forum
Topic: geometric average-variance dispersion
Replies: 1
Views: 49541

geometric average-variance dispersion

What is geometric average-variance dispersion trade ?thx
by nik154
July 31st, 2008, 10:25 am
Forum: Trading Forum
Topic: vega profile of "umbrella" structure ?
Replies: 1
Views: 50385

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 ..
by nik154
July 31st, 2008, 9:04 am
Forum: Trading Forum
Topic: vega profile of "umbrella" structure ?
Replies: 1
Views: 50385

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 ????
by nik154
June 29th, 2008, 5:40 am
Forum: Technical Forum
Topic: pricing an option to increase the notional
Replies: 1
Views: 51750

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
by nik154
June 29th, 2008, 5:36 am
Forum: Technical Forum
Topic: Hedging Cliquets and other exotic options
Replies: 19
Views: 191400

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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