<t>NB. but just using the your foreign and local currencies you'll be ignoring any correlation between your equity and the appropriate exchange rate (i.e. assuming this is zero). This may lead to significant misspricing, you'd better also include a simple adjustment to the dividend yield that you in...

<t>I'm using a Reiner and Rubinstein model for pricing a down and out cash or nothing binary barrier. Any ideas how I can convert it to a forward starting model for a 1year option starting in 2years? Obviously I'm using forward starting vol and discounting the result but is there anything else I nee...

<t>I think I worked out how to get my model to work however I had a look in Haug's book (version 1) and it seems to confuse Fi as on page 133 for instance it has it without Exp ( b*t) but then on page 134 it has this extra exp (b*t) factor in it as does the code there. Does anyone know which is corr...

<t>I'm trying to use an old paper "Implied trinomial trees of the volatility smil" February 1996 bu Derman, Kani and Chriss, to test my Implied tree model. I'm looking at their first detailed example and trying to follow through my results. Unfortunately I have some basic problems, in that on page 1...

If I know the implied volatilies at strikes -10%, 0% and 10% etc, how can I find the implied skewness and kurtosis of the distribution, to use these as my inputs into numerical models which allow for non-normal distributions?thanks.

<t>Can someone recommend a source of VBA code for a Tree or Monte Carlo model which uses discreet implied volatility inputs, which will therefore price options incorporating smile and term structure?I'd prefer a code which doesn't try to fit a function to the implied volatilities, but just uses line...

<t>I'm looking for a simple vba formula preferably based upon a black-scholes model to price a digital accrual option -where a coupon accrues each day the FTSE falls close to close over the day. I realise that it is a series of forward starting one day binaries struck ATM, but am wandering if there ...

<t>Simple question I know, but I'm trying to price a simple option on a commodity future, by using the Black-Scholes model (I know doesn't take into account fat tails/jumps/skew...). I know that this will basically entail calculating a q (i.e. dividend yeild or equivalent cost of carry), but not sur...

Just wondering if anyone has a handy summary of how different type of structured products pricings vary with changes in volatility and/or skew. e.g. does the pricing of an autocallable structure increase when vols rise, and how is it affected by changes in skews?Thanks!