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by animeshsaxena
October 9th, 2021, 4:39 pm
Forum: Trading Forum
Topic: Rates Curve Construction from Eq Options
Replies: 1
Views: 496

Re: Rates Curve Construction from Eq Options

let's assume you take 3month option on a Apple You are deconstructing Rate in the call option formula from all other variables including option price. Since repo market is not explaining the difference I would assume that your are getting a premium over libor 3m rate. Assuming this premium is not ju...
by animeshsaxena
October 9th, 2021, 10:35 am
Forum: General Forum
Topic: Calibration of displaced multi-factor short rate models
Replies: 1
Views: 750

Re: Calibration of displaced multi-factor short rate models

Easier to do asymptotic analysis for finding semi closed solutions
by animeshsaxena
October 9th, 2021, 10:26 am
Forum: General Forum
Topic: How is Repo impact call option in black scholes pricing
Replies: 4
Views: 788

Re: How is Repo impact call option in black scholes pricing

Maybe u mean rate - repo - div

Increase repo will lead to forwards going down and hence call value decreasing. Commonly referred to as implied repo in trader lingo
by animeshsaxena
March 30th, 2016, 2:20 am
Forum: Trading Forum
Topic: Intuitively Valuing Hybrids
Replies: 1
Views: 1863

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: 7446

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: 11655

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: 13603

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: 18878

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: 50052

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: 18878

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: 18878

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: 14746

(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: 61073

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: 14346

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: 14658

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
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