Option Greeks – Theta time premiums for call options
3 mins read time Option Greeks – Theta This article is closely based on […]
Option Greeks – Delta, Gamma, Vega, Theta & Rho.
3 mins read time Option Greeks – Delta, Gamma, Vega, Theta & Rho. While […]
Simulation tools. Variance reduction techniques for option pricing models
4 mins read time Variance Reduction tools for Monte Carlo Simulation. Monte Carlo simulation […]
Difference between N(d1) and N(d2)
3 mins read time On the other hand N(d1) will always be greater than N(d2) because in linking it with the contingent receipt of stock in the Black Scholes equation, N(d1) must not only account for the probability of exercise as given by N(d2) but must also account for the fact that exercise or rather receipt of stock on exercise is dependent on future value
Interest Rate Options: Pricing Caps and Floors
2 mins read time Here is the second course on Advance Interest Rate Products. […]
Forwards and Swaps: Interest Rates Models: Bootstrapping the Zero curve and Implied Forward curve
3 mins read time This road maps focuses on bootstrapping the zero curve and using the zero curve to calculate implied forward interest rates (forward curve). We then used the projected forward rates to price the swap rate for fixed to floating interest rate swap. A separate series of posts build on this material and extend its reach to pricing interest rate caps, interest rate floors, range accrual notes, commodity and equity linked notes.