HiIt looks like the first diagonal in fractional form is n(1-n)/(2n-1) for n=2,3,...and the 2nd diagonal is n(n-1)(n-2)/(8n-4) for n=3,4,...

<t>QuoteOriginally posted by: Collector>OTC currency options are considered at-the-money for the delta-neutral straddle. This is either slightly above or below the >forward (by approx a factor of exp(0.5*vol^2*T) depending on the premium conventions used for the particular pair. You are close! The d...

<t>QuoteOriginally posted by: mrbadguyWith reference to currency options, At the Money Spot (ATMS) are options with a strike equal to the spot exchange rate. I think delta of this options is really influencend by dynamics of interest rate differential. At the Money Forward (ATMF) options have strike...

Cheap and dirty solution in Excel is to use (as in Paul's book) something along the lines of RAND()+RAND()+..(12 times)..-6.Or possibly NORMSINV(RAND())For accurate work, Box-Mueller (spelling?) combined with a decent uniform random number generator.

<t>If you can get your hands on a copy of Numerical Recipes, have a flick through Chapter 10 (at least in my version) on Minimization/Maximization of Functions. They also have some code for simulated annealing solution of the travelling salesman problem. You need to think carefully about how to make...

Sounds like a currency pair. S1*S2 will be lognormally distributed with vol(s1*s2)=sqrt(vol(s1)^2+vol(s2)^2+2*rho(s1,s2)*vol(s1)*vol(s2)) where rho(s1,s2) is the correlation between ln(s1) and ln(s2).

I wish I had such a document. It is indeed interesting to see the differences due to assumptions about the diffusion process.

<t>HiI thought the paper on onion options was an interesting read, but at the risk of sounding flippant, what was the point of the article? It seemed to suggest that they were some newish invention whereas they and other similar structures have been around in FX for years and years. They are just as...