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by rweinsh
December 6th, 2012, 4:56 pm
Forum: General Forum
Topic: spread option
Replies: 4
Views: 9634

spread option

tx but what is margrabe formula,please?
by rweinsh
December 6th, 2012, 4:10 pm
Forum: General Forum
Topic: spread option
Replies: 4
Views: 9634

spread option

Hi!I have asset 1 option call price,asset 2 option call price and correlation between asset 1 and asset 2How can I get call option on spread (asset 1 - asset 2)?
by rweinsh
March 8th, 2012, 6:46 am
Forum: General Forum
Topic: ratio spread
Replies: 3
Views: 13692

ratio spread

Ok !How can I do it if I have a correlation?
by rweinsh
March 6th, 2012, 11:14 am
Forum: General Forum
Topic: ratio spread
Replies: 3
Views: 13692

ratio spread

How can I create ratio A/B spread option if I have option A and option B separate price?
by rweinsh
January 17th, 2012, 11:22 am
Forum: General Forum
Topic: Volatility of average price options(on WTI Calendar swap futures)
Replies: 1
Views: 16975

Volatility of average price options(on WTI Calendar swap futures)

<t>We have WTI Calendar Swap future contract traded on NYMEXIt is an underlying for APO (Average price options)The swap is built from two months futures prices (for ex., January swap is built from Feb and March contracts)Say,we have ATM volatility for Feb Plain Vanilla options at the level of 32% an...
by rweinsh
August 5th, 2011, 5:53 am
Forum: General Forum
Topic: FX Options Delta - Wing Pricing
Replies: 1
Views: 20093

FX Options Delta - Wing Pricing

May be they mean using inverted cumulative normal distribution function (See Haug,"Option pricing formulas,p.30,strike from delta)
by rweinsh
July 26th, 2011, 12:36 pm
Forum: General Forum
Topic: volatility of 1/S
Replies: 19
Views: 20893

volatility of 1/S

<t>QuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: rweinshQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: rweinsh...If you put a negative volatility(-q) in a call formula you get negative value of put with volatility q...No you don't.Option pricing formulas (Espen H...
by rweinsh
July 26th, 2011, 6:06 am
Forum: General Forum
Topic: volatility of 1/S
Replies: 19
Views: 20893

volatility of 1/S

QuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: rweinsh...If you put a negative volatility(-q) in a call formula you get negative value of put with volatility q...No you don't.Option pricing formulas (Espen Haug),page 11 or try Excel
by rweinsh
July 23rd, 2011, 5:51 am
Forum: General Forum
Topic: volatility of 1/S
Replies: 19
Views: 20893

volatility of 1/S

<t>QuoteOriginally posted by: Orbitcall the asset f. f=1/S. Let's assume S goes like dS = m*S*dt+q*S*dW (Geometric brownian motion)f_S=-1/S^2 and f_SS = 2/S^3df = f*(-m+q^2)*dt - q*f*dWSo the volatility of S was q, and the volatility of f is -qHTHIt is still interesting that you got the negative vol...
by rweinsh
July 20th, 2011, 6:18 pm
Forum: General Forum
Topic: volatility of 1/S
Replies: 19
Views: 20893

volatility of 1/S

Would you be so kind to explain how?
by rweinsh
July 20th, 2011, 5:18 pm
Forum: General Forum
Topic: volatility of 1/S
Replies: 19
Views: 20893

volatility of 1/S

Guys!What is the volatility of an asset with a price of 1/S if the volatility of S is q?
by rweinsh
July 3rd, 2011, 7:36 am
Forum: General Forum
Topic: option-underlying correlation
Replies: 4
Views: 19734

option-underlying correlation

Does the notion like "correlation between option and its underlying" or "correlation between option and option" exist?If yes,where could I learn about it?
by rweinsh
May 30th, 2011, 10:19 am
Forum: Trading Forum
Topic: Barrier and other exotic bid-ask
Replies: 2
Views: 19654

Barrier and other exotic bid-ask

QuoteOriginally posted by: royalflushYou need to contact brokersWhom would you recommend?
by rweinsh
May 27th, 2011, 2:32 pm
Forum: General Forum
Topic: volatility of exotics
Replies: 19
Views: 21047

volatility of exotics

Interesting...Thanks a lot May I ask one more?If volatility(implied,ATM) of vanilla suddenly increased,may I assume that either exotic option price( with positive Vega) will rise?
by rweinsh
May 27th, 2011, 1:56 pm
Forum: General Forum
Topic: volatility of exotics
Replies: 19
Views: 21047

volatility of exotics

<t>QuoteOriginally posted by: pimpelQuoteOriginally posted by: rweinshQuoteOriginally posted by: pimpelQuoteOriginally posted by: rweinshI understood that...But I am trying to understand how market maker prices those exotics?(for vanilla he may use "wrong number" like implied volatility with "wrong ...
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