Questions tagged [pricing]
The pricing tag has no usage guidance.
380
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Pricing / valuing anticipated repayment date
I am a long time lurker, and frankly not a quant, but have deep respect for those that are.
I have found myself in a situation dealing with some features on debt that I am trying to figure out how ...
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2
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266
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The end of risk-neutral valuation
Risk-neutral valuation grew out of BS constructing market-neutral portfolios of stocks hedged with options. It was a portfolio management problem. In less than a decade, pricing by arbitrage on a ...
- 549
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Approximation of an Autocall (trigger 100%) with ATM options prices
thank you very much for trying to answer this question, and I hope it will be helpful to everyone in my situation.
I am preparing for an interview, and I've come across these three questions on the ...
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How to price a buffet or, how to price a subscription? [closed]
I've been thinking about a problem that may not be so specific lately. How do we price a buffet, or how do we price a subscription service?
In more detail, let's assume that we are a cosmetics ...
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Callable Bond Delta Profile
I am analyzing a callable bond with 10 Years of maturity coupon paid monthly at market rate plus the spread of 25 bps. The bond has an American Call option embedded. The strike price of a bond option ...
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4
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Why are random coupons not priced using risk-neutral evaluation?
Assume a fixed coupon bond has a coupon which, randomly, is 5 % or 4 %, each occuring with a 50 % probability. The issuer flips a coin on payment date to decide which it should be.
I would value this ...
- 141
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Explicit pythonic building of Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
This question is related to the following questions asked previously, primarily the first:
Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
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Confusion About PFE Calculation and XVA Pricing Engine's Exclusive Reliance on Parameter Simulation
Potential Future Exposure (a credit risk metric) is calculated using
$$PFE(\tau) = \text{max}\Big(0, \mathcal{P}_{derivative}(\tau) - CVA(\tau)\Big)$$, where $\mathcal{P}$ is the price / fair value / ...
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1
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145
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Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
What I am trying to do is price EURIBOR6M FRAs using a curve built in quantlib with changes in rate due to central bank meetings.
For concreteness, my goal is to price EURIBOR6M FRAs, say 1x7 FRA, ...
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108
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Master Thesis about Heston vs. Duan option pricing model
I would like to write my master's thesis on volatility in option pricing. My idea was to compare the stochastic volatility model of Heston 1993 with the GARCH option pricing model of Duan 1995. For ...
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88
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Pricing a (general) callable floating rate note
I have a question generalizing this situation: Pricing Callable Floating Rate Note.
I want to price a callable floating rate note, where the coupon can also be capped and the reference index can be ...
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50
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How to use the parity parameter when pricing third-party warrants with BS?
I attempt a second basic question. Let me know if https://money.stackexchange.com/ would have been more suitable for that.
Third-party warrants are very similar to call options. One of their main ...
- 101
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41
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Is the sign of the delta-gamma approximation error predictable?
I self-study quantitative finance, but I have a hard time connecting the textbook formula with the market reality and available data.
I use delta-gamma approximation to estimate the price change of ...
- 101
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129
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Survival probability interpolation between two time nodes
In the Open Gamma paper describing the ISDA CDS pricing model, it is mentioned that given the time notes of the credit curve $T^c=\{t_{1}^{c},...,t_{n_{c}}^{c}\}$ and that the survival probability for ...
- 133
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53
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Pricing with log-normal interes rate
The annual rate of return in year $t$, denoted as $1+i_t$, where $i_0$ represents the interest rate from $t=0$ to $t=1$, has a log-normal distribution with an expected value $108\%$ and a standard ...
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