Questions tagged [pricing-formulae]
The pricing-formulae tag has no usage guidance.
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FX risk reversal approximation
i see this risk reversal approximation in Uwe Wystup's
https://www.mathfinance.com/wp-content/uploads/2020/09/wystup_vannavolga_eqf.pdf
in which the approximation of a risk reversal is given by:
vega ...
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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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Range Accrual pricing calculation
There is a discussion in https://www.investopedia.com/terms/r/rangeaccrual.asp which basically states how the CF from a Range Accrual would be determined.
I wonder if there is any standard pricing ...
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How to Correctly Price Currency Forwards/Futures [duplicate]
I am trying to understand how to price a forward contract on the GBP/USD currency pair and then compare my answer with current future prices on GBP/USD. If my understanding is correct I believe we ...
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Shreve multiperiod binomial model
In Section 1.2 in Shreve's Stochastic Calculus for Finance I, he introduces the Multiperiod Binomial Model.
There is something about it that I don't quite understand.
He assumes that coins are tossed ...
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Option Payoff in Different Currencies
In the stackexchange answer Change of numeraire in options with currency exchange features
Pratically speaking, what this expresses is that these two things are the same:
Converting the payoff (which ...
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Foreign equity call struck in domestic currency
I'm trying to get a solution for the foreign equity call struck in domestic currency, where the foreign equity in domestic currency is defined as $S=S^fX^\phi$ with $0<\phi<1$, instead of the ...
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Theta Greek Max Curvature [duplicate]
how to solve it for max Theta Curvature?
i'm looking for the pure math glyph formula..
it may be related to actually
3rd deriva & curvature function..
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Properties of the American derivative security price process
$$
\newcommand{\cbkt}[1]{\left\{{#1}\right\}}
\newcommand{\rbkt}[1]{\left({#1}\right)}
\newcommand{\sqbkt}[1]{\left[{#1}\right]}
$$
Shreve volume I, defines an American derivative security as follows:
...
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Special Exotic Option Pricing Approach [closed]
I am currently stuck with the following problem:
You need to price the following exotic option, where the share price of Stock ABC is the underlying:
• Time to maturity: 2 years
• Right to exercise: ...
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571
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Interesting finding... "Adjusted Kirk's" and "Bjerksund-Stensland" are exactly the same ??? Spread option calculation
This is more of an academic question. The results are SO close, I think they are ACTUALLY THE SAME FORMULAS. So someone published a paper with a "new" method to adjust Kirk's formula to ...
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Pricing of LIBOR based CF settled after the LIBOR fixing by switching from risk-neutral to forward-neutral measures
When deriving the LIBOR-based swap rate formula in any interest rate model, expressions of the following types appear naturally:
Literature tells us that, switching to the – forward neutral measure, ...
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Pricing formula under a new risk-neutral pricing measure:
From the fundamental asset pricing theorem, we know that in the absence of arbitrage opportunities, the present value of an asset paying $\Psi(X)$ at maturity time $T$ is given by:
\begin{equation}
...
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How to calculate the theoretical price of a forward in CHF on a stock index future in EUR?
I am looking for a pricing model of the following contract, which is basically a forward contract, maturity in 3 month with some sort of strike on a (equally weighted basket of) stock index futures in ...
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How is calculated the futures/forward convexity adjustment for FX?
I could find lots of stuff online for IR derivatives but it seems there isn't too much on FX for this specific adjustment.
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