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by cosmologist
January 20th, 2011, 5:34 pm
Forum: Technical Forum
Topic: Pricing/hedging barrier options (DIP)
Replies: 4
Views: 39313

Pricing/hedging barrier options (DIP)

bravo,that was a magnificient insight. i wish you could say some more on hedging DIP.any work(practical) what is the standard methods of pricing and hedging them?So much of work is published on barriers , all the time. the latest ones are.....?regards
by cosmologist
May 11th, 2010, 7:55 am
Forum: Technical Forum
Topic: FX double digital options
Replies: 6
Views: 32729

FX double digital options

Bringiton,I have sent you a pvt message. thanks
by cosmologist
May 6th, 2010, 8:18 am
Forum: Technical Forum
Topic: Pricing and Hedging Fader options.
Replies: 3
Views: 29761

Pricing and Hedging Fader options.

Thanks amit, any reference paper or work, please.
by cosmologist
May 2nd, 2010, 2:29 pm
Forum: Technical Forum
Topic: Pricing and Hedging Fader options.
Replies: 3
Views: 29761

Pricing and Hedging Fader options.

Can somebody help with this topic. Can somone breakdown a standard fadi-in option to show how basic options can be used to build this or this type of options? Basic options include vanillas and barriers.Thanks in advance.
by cosmologist
April 2nd, 2010, 11:03 am
Forum: Technical Forum
Topic: Pricing and Hedging a Barrier Book. Market Practice.
Replies: 0
Views: 28910

Pricing and Hedging a Barrier Book. Market Practice.

Can we have a discussion on the prevalent market practice of Pricing and Hedging a Book of Barrier Options,please. After all these years ,what is the method that market participants adopt.Suggestions, comments, references would be gratefully acknowledged.
by cosmologist
November 28th, 2009, 5:53 am
Forum: Brainteaser Forum
Topic: Barrier option
Replies: 30
Views: 43195

Barrier option

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: daveangelQuote In all cases, the answer is between 0 and 1 indeed - you dont have to be a quant to see that soemthing that may pay you 1 at some point in the future cannot be worth 1.5 today.Unless there's deflation!EVEN IF THERE I...
by cosmologist
November 28th, 2009, 5:39 am
Forum: Brainteaser Forum
Topic: Barrier option
Replies: 30
Views: 43195

Barrier option

<t>QuoteOriginally posted by: Kukloma1Consider the following problem:Current price of stock X is 150. What is the price of option that pays 1 the first time X hits 100?Answer: To replicate this option, you need to buy 0.01 units of stock X. Hence, the option price is 1.5Issue: You can always invest ...
by cosmologist
November 27th, 2009, 1:46 pm
Forum: Programming and Software Forum
Topic: SuperD users ANY ONE
Replies: 0
Views: 32100

SuperD users ANY ONE

<t>I have two questions.1. Why SuperD values are so different than values obtained from other softwares.2. In European Barriers , SuperD talks about the final asset price Below and Above the barrier at the expiry.Any one can explain to me what they actually mean in terms of the normal zargons up-and...
by cosmologist
November 27th, 2009, 1:41 pm
Forum: General Forum
Topic: SuperD users ANY ONE
Replies: 0
Views: 31763

SuperD users ANY ONE

<t>I have two questions.1. Why SuperD values are so different than values obtained from other softwares.2. In European Barriers , SuperD talks about the final asset price Below and Above the barrier at the expiry.Any one can explain to me what they actually mean in terms of the normal zargons up-and...
by cosmologist
September 16th, 2009, 10:41 am
Forum: Economics Forum
Topic: UNEMPLOYMENT AND EQUITY INDICES Correlation.
Replies: 3
Views: 35436

UNEMPLOYMENT AND EQUITY INDICES Correlation.

<t>EQUITY INDICES all over the world have scaling newer highs while the unemployment rates are rising. To quote Bloomberg news,"The unemployment rate in the three months through July rose to 7.9 percent, the most since 1996, the statistics office(UK) said. That compares with the latest figures of 9....
by cosmologist
September 16th, 2009, 10:29 am
Forum: Off Topic
Topic: UNEMPLOYMENT AND EQUITY INDICES Correlation.
Replies: 16
Views: 35945

UNEMPLOYMENT AND EQUITY INDICES Correlation.

<t>EQUITY INDICES all over the world have scaling newer highs while the unemployment rates are rising. To quote Bloomberg news,"The unemployment rate in the three months through July rose to 7.9 percent, the most since 1996, the statistics office(UK) said. That compares with the latest figures of 9....
by cosmologist
August 21st, 2009, 6:30 am
Forum: Numerical Methods Forum
Topic: SABR model -- boundary behavior
Replies: 39
Views: 52586

SABR model -- boundary behavior

<t>And Just one more suggestion,Oislah, Your beautiful work will go waste if guys like us don't get to undertsand it. where is the point in publishing something in Finance for a selected audience. Well, had it been a String Theory work, we would have just looked at it and taken a photo if the symbol...
by cosmologist
August 6th, 2009, 3:19 pm
Forum: Numerical Methods Forum
Topic: S+ code for Poisson process.Urgent please.
Replies: 2
Views: 36618

S+ code for Poisson process.Urgent please.

<t>Can someone please explain the follwoing code in S+x = rexp(n,rate=R)y = cumsum(X)For a poission process with rate = lamda.What is the significance of N. How does this command generates the individual events. Summing up is done for the paths in line 2.Can someone throw an example in VBA for the p...
by cosmologist
December 31st, 2008, 9:10 am
Forum: Trading Forum
Topic: Simplifying the pay-off max( average/Strike -1,0)
Replies: 1
Views: 44345

Simplifying the pay-off max( average/Strike -1,0)

<t>can someone break this payoff to simpler optionspay-off max( S1 + S2 + S3 /3*Strike - 1,0). let us say, max(average of the asset/strike - 1,0).Observe the price on say 4 occasions. take the average. Divide the strike and subtract 1. What is the most elegant way to express the above pay-off,either...
by cosmologist
December 1st, 2008, 7:42 am
Forum: Off Topic
Topic: Who believes Pakistan?
Replies: 90
Views: 51867

Who believes Pakistan?

<t>For all those who wanted to know the truth, the answer should be something like this.LeT with the help of ISI and Dawood Ibrahim, the most dangerous terrorist alive (assuming that Bin Laden died in the Tora Bora attack), carried out this attack. Well, police captured one of the guys, a class 4 pa...
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