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March 30th, 2016, 2:20 am
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...
July 10th, 2013, 6:57 am
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...
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....
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...
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.
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...
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!
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.....
April 29th, 2012, 10:57 am
Replies: 2
Views: 14566

<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...
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
April 21st, 2012, 9:40 am
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....
April 17th, 2012, 4:45 pm
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
April 17th, 2012, 6:38 am
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.
April 17th, 2012, 5:23 am
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.
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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