just to confirm, i guess you are using the same assumtions on the dividends, aren't you, in both Montecarlo and BS formula. What i the tenor of your option?

<t>Thank you very much. This was my first approach, to mark and to price with NDF curve, as it is going to be my hedging cost. Well, in fact i will never hedge building the basket, but with index futures. In Europe, the price of equity forwards or futures is well arbitred by delta 1 desks. there is ...

Yes, my question is wich forward should i use as an input to my model to price an option:a) the forward with 3% ratesb) the forward with 5% rates

Both local and quanto

Hello Daveangel,let's say i sell just an European Call on the Kospi Index. What forward should i use, the one calculated with NDF curve or the one calculated with the IRS curve?

<t>Exotic desks try to offer more and more sophisticated products. Doing this, they get to eliminate competition from other desks, so they get more margin. They ensure that their clients don't really know what is the real value of what they are buying. Gmike2000 sais it all.Hedge Funds trading on ex...

Hi Bilbo,can you be more precise? You want to evaluate the Fx risk of your options portfolio? what do you have in it: quantos, stocks, IR instruments...? The Fx exposure and the way to evaluate it will depend on each case

<t>Hello all,I have a question for all of you who have traded in derivatives in non deliverable currencies for the last two years. Korea and Taiwann in particular. In these two currencies the basis between IRS and NDF/NDS curves has widened up to 2% all along the curve.Let's say that you desk belong...

<t>Hello,What is not clear to me is that if you keep 50 MM XXX in a domestic bank and you get nothing, but you could also go to the NDF market and get the 1.5% of the NDF. You will have the same Fx full exposure as if you keep the money in the local bank.In that case, I would say trhat, as your fina...