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June 1st, 2010, 11:48 pm
Forum: Technical Forum
Topic: Barrier + Vanilla option
Replies: 3
Views: 27415

Barrier + Vanilla option

Found them! PAtial-Time single asset barrier options - in Haug, where else.Thanks,Alk
June 1st, 2010, 6:35 am
Forum: Technical Forum
Topic: Barrier + Vanilla option
Replies: 3
Views: 27415

Barrier + Vanilla option

<t>I was wondering about the following structure:Barrier call option that knocks in after a barrier is crossed by time t1 but expires at time t2 where t2>t1 and it can be exercised any time after t1 if it has knocked in . So it becomes a Vanilla call after t1, in fact, it becomes a vanilla call afte...
June 1st, 2010, 5:46 am
Forum: Technical Forum
Topic: accumulation index
Replies: 0
Views: 27169

accumulation index

<t>If I need to simulate an accumulation index, I presume I can use the risk neutral drift of r and the implied vol from some option on this index and then let the div_yield = 0 to get some sense?How would the Vol differ between an accumulation and the same but non accumulating index? I thought that...
May 31st, 2010, 10:07 pm
Forum: Student Forum
Topic: equiv martingale measure
Replies: 8
Views: 28131

equiv martingale measure

<t>QuoteOriginally posted by: manolomQuoteOriginally posted by: AlkmeneIf my current calue is 1.75, my prob vector for values tomorrow (in the finite world) is (.25, .75), the outcome vector is (1,2) then 1.75 is my expectation? There is no need for the up and down probs to be the same? Or does this...
May 31st, 2010, 9:57 pm
Forum: Technical Forum
Topic: hitting time fixed barrier
Replies: 8
Views: 29335

hitting time fixed barrier

<t>QuoteOriginally posted by: outrunI got by transforming some variables on equations described in the most exiting book I have. This book has a formula to text ration of 99:1!!!*but* if you want to be able to derive that yourself, then a good start would be to learn about the reflection principleth...
May 31st, 2010, 9:51 pm
Forum: Technical Forum
Topic: another barrier
Replies: 4
Views: 27362

another barrier

<t>Thanks out; found this in about 21 seconds It deals with the perpetual option case; it also talks about the expected discount as dervied through the expected hitting time. That helps a bit with my other problem but the perpetual part makes it rather useless.I know that I should figure it out myse...
May 31st, 2010, 5:53 am
Forum: Technical Forum
Topic: simple convertible question
Replies: 7
Views: 28310

simple convertible question

<t>QuoteOriginally posted by: daveangelwell, this may be right and I haven't read all of it but it seems to me that Alk's question is much simpler than the answer you have provided. first, the problem is how do you value a convertible bond with o credit risk. the usual method is bond + option and th...
May 31st, 2010, 5:50 am
Forum: Student Forum
Topic: equiv martingale measure
Replies: 8
Views: 28131

equiv martingale measure

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: slslslwhy doesn't it?the price can go to 1+e or 1-e, and under the EMM we want the expected value to be 1..???clearly the probability is 1/2 for up and down. the question is very poorly posed - I am not sure what they mean by "another...
May 31st, 2010, 5:37 am
Forum: Technical Forum
Topic: another barrier
Replies: 4
Views: 27362

another barrier

<t>I am struggling. I am looking for the probability that a KI call will be knocked in and >K at time T.I found a density function but it seems too complicated to integrate (at least for me). Partly this is because it needs a double integral (*edit* this is rubbish) and partly because the expression...
May 31st, 2010, 3:07 am
Forum: Technical Forum
Topic: another barrier
Replies: 4
Views: 27362

another barrier

sorry, I am really losing the plot.
May 31st, 2010, 2:36 am
Forum: Technical Forum
Topic: another barrier
Replies: 4
Views: 27362

another barrier

sorry, I am losing the plot
May 31st, 2010, 2:31 am
Forum: Technical Forum
Topic: hitting time fixed barrier
Replies: 8
Views: 29335

hitting time fixed barrier

Thanks Alan, that helps.Why do yo think that the question is ill posed? I presume you mean that one should be more rigorous and ask what the expectation is given that the barrier has been hit?thanks a lot for your help.Cheers,Alk
May 30th, 2010, 11:57 pm
Forum: Technical Forum
Topic: hitting time fixed barrier
Replies: 8
Views: 29335

hitting time fixed barrier

Hm, looking at the monstrosity, seems like there are a load of constants that would make it easier, I suppose ... out of my depth here!Cheers,Alk
May 30th, 2010, 11:21 pm
Forum: Technical Forum
Topic: hitting time fixed barrier
Replies: 8
Views: 29335

hitting time fixed barrier

<t>Thanks Out,Well, it is one piece of the puzzle ... :-)Any hints as to how to attempt to integrate this monstrosity? I never had to actually do such a thing - only simple uni stuff.Questions:Is there a solution and if not, how can one tell from looking at this thing that there is not?How does one ...
May 27th, 2010, 5:47 am
Forum: Student Forum
Topic: equiv martingale measure
Replies: 8
Views: 28131

equiv martingale measure

<t>Well, as it states, I guess, the question is: Find all the measures that lead to a martingale."in which case the only possibility is that the price goes up and down with equal prob" is not correct. The outcome(s) times their associated probabilities under the measure (defined as the expected valu...

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