SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 124 matches

  • 1
  • 5
  • 6
  • 7
  • 8
  • 9
by prodiptag
August 18th, 2009, 5:03 pm
Forum: Technical Forum
Topic: inflation options in BS framework
Replies: 0
Views: 36387

inflation options in BS framework

<t>HiI was trying to price an inflation option in a bs framework. The option I am pricing is a single 10y caplet ZC inflation, i.e. the pay-off is Max(Index(10y)/Index(now) - K, 0). My basic model is based on Jarrow-Yildirim, i.e. real + nominal + infaltion as FX, the idea is since dI/I = break-even...
by prodiptag
March 28th, 2009, 6:52 pm
Forum: Student Forum
Topic: pricing options on momentum strategy
Replies: 5
Views: 41578

pricing options on momentum strategy

<t>Thanks for your guidance. I tried to estimate the option price - using a jump-diffusion model, and it does not seem to be totally off. but I was wondering how to check if this model is okay. I can compare the implied vols I am getting from my model to realized vol and check for any trends/differe...
by prodiptag
March 22nd, 2009, 3:04 pm
Forum: Student Forum
Topic: pricing options on momentum strategy
Replies: 5
Views: 41578

pricing options on momentum strategy

<t>Thanks!Firstly I do not even hope for analytical price!My pricing problem is more like the 30day vs 180 day ma. The model i am using is a short rate model with jumps and captures short term volatility variations well. Now what I am not sure about is the trending part. Since trending is a signific...
by prodiptag
March 21st, 2009, 3:12 pm
Forum: Student Forum
Topic: pricing options on momentum strategy
Replies: 5
Views: 41578

pricing options on momentum strategy

<t>HiGreat if someone can help me on this ....Suppose you are following a strict rule based trading strategy, where you go long or short on ~10y g-secs based on some momentum rule based on moving averages of price. Is it possible to price an option on this strategy using any common model (common mod...
  • 1
  • 5
  • 6
  • 7
  • 8
  • 9
GZIP: On