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 Inverse option؟

Definition 19.4 Markets III: Commodities, Energy and Crypto · الفصل 19 — Dated Futures, Options and ETFs

An inverse option is a European option on the dollar price of a coin whose premium is quoted and paid in the coin and whose payoff is settled in the coin: a call pays (FT−K)+/FT(F_T - K)^+/F_T coins at expiry, where FTF_T is the settlement price and KK the strike in dollars.

Value in bitcoin at expiry of inverse options struck at 90 000 (): the call’s coin value approaches but never reaches one bitcoin; the put’s grows without bound as the price falls. In dollars both are the ordinary payoffs. Data: the chapter’s tutorial.
Figure 19.1. Value in bitcoin at expiry of inverse options struck at 90 000 (Proposition 19.5): the call’s coin value approaches but never reaches one bitcoin; the put’s grows without bound as the price falls. In dollars both are the ordinary payoffs. Data: the chapter’s tutorial.
Deltas of December 2026 inverse calls across strikes, at the venue’s marked volatilities of . Deep in the money the premium-adjusted delta falls: the premium, paid in bitcoin, is itself a large bitcoin exposure, and the 60 000 call’s adjusted delta (0.645) is below the 70 000 call’s (0.658). Data: the chapter’s tutorial.
Figure 19.2. Deltas of December 2026 inverse calls across strikes, at the venue’s marked volatilities of Box 19.3. Deep in the money the premium-adjusted delta falls: the premium, paid in bitcoin, is itself a large bitcoin exposure, and the 60 000 call’s adjusted delta (0.645) is below the 70 000 call’s (0.658). Data: the chapter’s tutorial.
اقرأ في الفصل →