<t>Thanks for the replies, the argument for deep ITM call delta on non div underlyer being 1 makes sense. One counter-argument I thought of was that if the underlyer for a deep ITM call increased in value by 1 unit, the deep ITM call (at expiry) will be worth one unit more, so shouldn't that future-...

<t>Looking at delta graph for a 2-yr to expiry, very deep ITM call (assume non-dividend underlyer) delta is very close to 1. Colleague's view is that this graph is incorrect and delta value should be: 1 * (2-yr Discount Factor) so assuming 5% interest per year, it should be (very roughly) 90% delta....

Can anyone recommend any papers/sources on pricing options with an unhedgeable component (e.g. no stock borrow)? Any suggestions very welcome- how can you price something which doesn't exist (is stock-borrow zero, or infinite, if there is no borrow?).:confused

OK thanks; so asset classes are "historical accidents" rather than hard statistical definitions I guess?

What defines an asset class? Correlations? How do we "know" stocks and bonds are different asset classes?

What is this pls?Can you have an orthogonal regression with more than 2 variables?

Thx DAXHunter, very helpful. Your grade is A+.

What is a basis swap?What is a basis curve and how is it constructed?Discuss with examples, points will be awarded for clarity and neat handwriting. Your time starts now.

In PWOQF p. 232 (Book 1) we are told S^a.V(X/S,t) may be easily shown to be a solution to Black Scholes. I've tried to show this but keep getting a dV/dt term I ca't seem to lose. Could someone "easily" explain error pls?Learner

I am trying to find out about setting up an index to track commercial property prices in UK as a course project- can anyone suggest sources for index formation/real estate indices/options on such indices etc? Nothing is too basic!!

Can anyone recommend a source/website for Excel fiance spreadsheets? I need examples to learn on (especially fixed income!!)cheersLearner

Derivatives preferably; I will also look around Forum (found some good stuff here too). Basically looking for (say) course notes/tests to practice/learn from.Thanks Guys keep them coming!!

Can anyone suggest good websites for the Derivatives Student? Basically I am looking for anything with practice questions (and answers!) at a 2nd Yr MBA/Intermediate level; hopefully practice will make perfect! Also any related data (math/stats background) would be great.

Thanks for help much appreciated

Sorry should have said these are American style puts- thanks for any/all suggestions!!