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    "Cash or nothing" and "Asset or Nothing" binary on shares

    David, One of the things that sent me in the wrong direction was a model published by one of the very prominent US business schools. I could not get their answer without making some unnatural assumptions. I eventually contacted them and it turns out their model was wrong and has since been...
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    Hedging digitals

    I am interested in hedging strategies for digitals both cash or nothing and asset or nothing varieties. I can see from the payoff diagram that at the money, there is no way that delta hedging the underlying is going to help with the jump. There is probably no simple answer, a reference...
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    "Cash or nothing" and "Asset or Nothing" binary on shares

    And Standard Deviation for the Stock is 20%
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    Valuing digital options using Monte Carlo Simulation

    I have tried valuing the "Asset or Nothing" and "Cash or Nothing" binary options mentioned in my previous post using Monte Carlo simulation. Parameters repeated below; Option type = Put Strike = 50 S = 50 CC Dividend Yield = 0.75
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    "Cash or nothing" and "Asset or Nothing" binary on shares

    I am trying to use the relevant formula from Black Scholes to value both of these digitals on a common stock Say; Option type = Put Strike = 50 S = 50 CC Dividend Yield = 0.75
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    Margin on a currency swap

    David, I would like to confirm my logic on this topic. If I were creating a swap for a client; Client pays AUD and recieves USD (Client is Australian hedging USD Loan) both rates are fixed. Clients loan is 125Bp above the fixed swap rate. I want to add 125 Bp to the USD side of the...
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    Estimating the Zero yield curve

    David, I am loving this site and in particular the tutorial web casts. I watched the casts on fitting the yield curve where the term structure has gaps. e.g. the cubic polynomial and the more sophisticated Nelson Siegel model. I have also done some reading on the topic and I can see...
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    Zero coupon yield curve

    David, This is very useful and much appreciated. If can extend just a little further. The texts that I have been using describe the process for constructing forwards, swaps and futures are fairly straight forward. In all of the examples they tend to present the rates as a given. From...
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    Zero coupon yield curve

    I have the most basic question. I have mastered stripping the curve and bootstrapping, I can get the mathematical result and I understand why investment banks create Zeros What I am a little hazy on is exactly what uses one puts the zero yield curve to. I am happy to read up, but most...
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