جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Forward-start option؟

Definition 16.4 Derivatives and Volatility · الفصل 16 — Asians, Lookbacks, Cliquets and Forward-Starts

A forward-start option is an option whose strike is fixed at a future date t1t_1 as a proportion kk of the spot then, K=kSt1K=kS_{t_1}, and which expires at t2>t1t_2>t_1. It pays (St2−kSt1)+(S_{t_2}-kS_{t_1})^+ for a call.

The one-month smile six months from now, as forecast by two models that fit the same surface today, against today’s one-month smile. Local volatility’s forward smile is nearly flat; Heston’s keeps a skew and a smile. Data: the tutorial.
Figure 16.3. The one-month smile six months from now, as forecast by two models that fit the same surface today, against today’s one-month smile. Local volatility’s forward smile is nearly flat; Heston’s keeps a skew and a smile. Data: the tutorial.

أمثلة

Example 16.5 (Two forward smiles from one surface)

Chapter 9’s local volatility and chapter 10’s Heston model are both fitted to chapter 9’s surface: they reprice its one-year at-the-money call at 19.19% and 18.99% against the market’s 19.19%. Their one-month smiles starting in six months are very different (Figure 16.3). Local volatility gives 23.9% at 94%, 21.5% at the money and 21.3% at 106%, almost flat. Heston gives 24.0%, 18.5% and 20.0%, with a skew and a smile. Today’s one-month smile runs from 19.6% to 14.9% to 12.0%. Local volatility flattens the future smile, as chapter 9 found. Heston keeps its shape, and Bergomi observed that its forward smiles are more convex than today’s.

اقرأ في الفصل →