Questions related to Option Pricing
Power and gas retailers, are exposed to a variety of risks when selling to domestic customers. Many of these risks arise from the fact that customers are offered a fixed price, while the retailer must purchase the gas and power to supply their customers from the wholesale markets. The risk associated with offering fixed price contracts is exacerbated by correlations between demand and market prices. For example, during a cold spell gas demand increases and wholesale prices tend to rise, whilst during milder weather demand falls and wholesale prices reduce.
Exactly from which date gold options are introduced on gold futures in India and on which derivatives exchange.
is the historical data on gold options( option price,strike price, open interest, no. of contracts etc.,) available. if so, from which data?
please let me know
thanks in advance
When the value of our Trading Account is PI and our cash is equal PI-qS.
q is number of shares of stock (S).Where q is between one and minus one.(why?)
By introducing certain constraints, It is common that in some of the existing literature that solves the American style options, the early exercise feature and the Greeks are either not computed accurately or unavailable.
I am seeking insight and would love to inquire about various numerical, analytical, and/or analytical approximation techniques for computing the early exercise feature in a high-dimensional American options pricing problem.
I am trying to do option pricing using QuantLib in Java, I have downloaded the relevant jar library and also the dll and they work perfectly. I am just looking to find a simple example of option pricing code in Java which I can then extend. There is a C++ example in here:
But I can not figure out how to create the Java version.
There are main categories of financial markets like stock markets, bond Markets, sukuk, .. Etc
Kindly, could you write what are all other categories of financial markets with the main references which discuss the details of financial markets or something if them
Thanks for your kind consideration
I have to use "Merton Jump diffusion model" for estimating the price of options for my research work.
i am using VBA as a back-end program for MS-Excel.
I have calcualted all the variables required for the model except the two variables
1. Number of jumps per year and
2. % of the total volatility explained by the jumps.
how to estimate those two variables.
i read program manual, but no information is available about it.
can anybody help in in this regard
thanks in advance
As we know implied volatility is derived by interpolation of market price and the guess of the volatility by using the option pricing formula.
what are the real life applicaiton of implied volatiltiy
thanks in advance
I have to use Heston estimating the price of energy options(gas and electricity) for my research work
Iam using Matlab for model calibration and I have derived first the short term forward contract price(following a paper by Kellerhalls 2001)
I have since acknowledged the vast literature on Heston but all of it is on equity options
Can i calibrated Heston parameters using the derived forward price and day ahead spot prices or observed futures prices?
There are a lot of efficient and accurate methods about the PDEs fractional order, but can someone use these methods in option pricing (Black-Scholes or etc.) because of arbitrage?
I am working on Introduction to Levy processes where I need to derive an option price using Esscher Transform and compare the derived option price with Black-Scholes model. The comparison part is giving a challenge. I am using Eberlein and Prause as a guide. Describing one of the examples in the paper is my challenge.
I will very glad if the question is giving a quick attention.
Thanks in advance.
This involves cnx nifty indrx options, out of money call and put options.This strategy gives positive returns every month, so to show this as a useful strategy in future as it has remained in past. What kind of tests should i use.
Please, I will like to know how orthogonal polynomials in particular (Hermite) can be applied to finance in option pricing.
- Is there any demand to implement high-order numerical schemes to Black Scholes model for option pricing? I saw some papers regarding this issue but it's not really clear wheather there is substantial commercial demand for this kind of things.
- What are the open questions in the field of option pricing and numerical methods? Are there any essential disadvantages in current methods that need to be solved or improved somehow?
One ex-VP at a big investment bank said once that it uses Racorean’s equation (see. http://arxiv.org/abs/1307.6727 ) for pricing bitcoin options.
-σ^4/r(σ^2+r) (d^2 ψ_((S) ))/(dS^2 )+1/S^2 ψ_((S) )=r/σ ψ_((S) )
Is there anybody else that uses the time-independent pricing for pricing bitcoin options or for trading binary /weekly/American options?
I am using a barrier option, in particular a Down-And-Out call option, to simulate default probability of a firm where the asset values follow a geometric brownian motion. For reasonable values of volatility, drift, barrier and strike price, the code returns me default probability larger than one. The formula for PD is that of Black,Cox (1976) but with constant barrier (Reisz, Perlich 2007).