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by animeshsaxena
March 30th, 2016, 2:20 am
Forum: Trading Forum
Topic: Intuitively Valuing Hybrids
Replies: 1
Views: 1662

Intuitively Valuing Hybrids

<t>Hybrid => SPX > X, USDCHF > YAssume correlation around 20%, and the product is 10yCoupon = c% x n / Nwhere n = Number of days in RangeN = Total daysI know how to price this in MC/FD, but I am looking for crude pricing (quick back of the envelope calculation)If I want a rough price for this struct...
by animeshsaxena
July 10th, 2013, 6:57 am
Forum: Trading Forum
Topic: binary american
Replies: 0
Views: 7267

binary american

<t>Onetouch = American binary call or putNo touch option pays if the barrier is not touched any day till expiry.I understand that No touch <> 1 - Onetouch, since maturities are different (to be more precise...one touch can expiry before it's specified maturity)What if we take a Onetouch - the one wh...
by animeshsaxena
November 9th, 2012, 5:27 am
Forum: Brainteaser Forum
Topic: A question about tossing coin
Replies: 5
Views: 11401

A question about tossing coin

use induction method....u can easily get a general result of getting p continuous tosses.assume that u already have p-1 tosses...and then go to final pth toss....
by animeshsaxena
August 13th, 2012, 7:39 am
Forum: Student Forum
Topic: Barrier shift of a down and in put option
Replies: 2
Views: 13453

Barrier shift of a down and in put option

<t>QuoteOriginally posted by: cameronHi,I'm reading the book "Exotic Options Trading" by F.Weert and just came across a question regarding the barrier shift of a down and in put. It says that for a 100/70 down and in put, one may choose to price and risk manage a 100/67 down and in put in such a way...
by animeshsaxena
May 18th, 2012, 3:39 am
Forum: Numerical Methods Forum
Topic: Non linear 2D PDE
Replies: 54
Views: 18068

Non linear 2D PDE

I am using heston pde as given in page 23 of the document. I don't get ur question regarding PDE flavor. It has both convection and diffusion and also a correlation term. It's basically 2D for ADE with mixed derivative term.
by animeshsaxena
May 17th, 2012, 6:12 am
Forum: Numerical Methods Forum
Topic: Random numbers in Monte Carlo simulation
Replies: 17
Views: 48403

Random numbers in Monte Carlo simulation

<t>better to use quasi-random coz convergence is good....Good way to check the quality is 1. Generate 1000 random numbers between (0,1)2. Compute N = (Number of randoms < 0.5)3 Divide N by 1000, see if this is equal or approx equal to 0.5. Similarly try for 0.4 or other numbers. If they are fluctuat...
by animeshsaxena
May 17th, 2012, 6:05 am
Forum: Numerical Methods Forum
Topic: Non linear 2D PDE
Replies: 54
Views: 18068

Non linear 2D PDE

Sent u the info on email....Can't share pdf on forum!
by animeshsaxena
May 17th, 2012, 2:35 am
Forum: Numerical Methods Forum
Topic: Non linear 2D PDE
Replies: 54
Views: 18068

Non linear 2D PDE

Sau'yev ADE works for plain black scholes and well generalized....model also...(for example even with 3 - 4 correlation terms...or multi asset). I am stil struggling with stablizing it for a simple stochastic heston model. If anyone has success with it....do lemme know.....
by animeshsaxena
April 29th, 2012, 10:57 am
Forum: Trading Forum
Topic: (Time) Spread Option
Replies: 2
Views: 14566

(Time) Spread Option

<t>I am assuming spread = outperformance option.So payoff is Max[A-B,0]simplify this to B x Max[A/B-1,0]Now treat A/B as a single asset which will have a volatility ofsigmaA/B^2 = sigmaA^2 + sigmaB^2 - 2 correlation(A,B) sigmaA sigmaB (From Ito's)Max[A/B-1,0] is your black scholes formula with asset...
by animeshsaxena
April 21st, 2012, 9:42 am
Forum: Student Forum
Topic: random number generators
Replies: 12
Views: 60777

random number generators

and no one said sobol
by animeshsaxena
April 21st, 2012, 9:40 am
Forum: Trading Forum
Topic: Strike for max gamma
Replies: 4
Views: 14143

Strike for max gamma

another way to do the skew (OTM/ITM) trade is by financing with a butterfly spread....
by animeshsaxena
April 17th, 2012, 4:45 pm
Forum: Trading Forum
Topic: Accelerated Growth Notes
Replies: 10
Views: 14321

Accelerated Growth Notes

well..adding a barrier would also make the option more cheaper but greeks might be a nightmare...for instance Up&Out Call
by animeshsaxena
April 17th, 2012, 6:38 am
Forum: Trading Forum
Topic: Accelerated Growth Notes
Replies: 10
Views: 14321

Accelerated Growth Notes

yes.....greeks are smooth because of averaging. in short term gamma can cause problems...especially if the spot is hovering around strike at expiry. generally called asian tail structures.
by animeshsaxena
April 17th, 2012, 5:23 am
Forum: Trading Forum
Topic: Accelerated Growth Notes
Replies: 10
Views: 14321

Accelerated Growth Notes

In the document it mentions averaging so it won't be as simple as K times call - put where K = 2.3it's 2.3 x Asian ATM Call - Asian ATM Put.
by animeshsaxena
April 16th, 2012, 7:51 am
Forum: Student Forum
Topic: A question on the Baxter's book
Replies: 4
Views: 13122

A question on the Baxter's book

<t>if interested in gambling...here's a scenario...Horse 1 ---> 1/a --- Total amount bet is A1Horse 2 ---> 1/b --- Total amount bet is A2Horse 3 ---> 1/c --- Total amount bet is A3Horse 4 ---> 1/d --- Total amount bet is A4Horse 5 ---> 1/e --- Total amount bet is A5So if I bet a 100 bucks on horse 1...
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