j******g
发帖数: 3 | 1 Have no clue on these questions..Anybody would like to shed some light?
1.If you short american put, you are long skew or shot? Why?
2.Two puts on asset A and B, A worths 3 and B worths 4. What’s the price of
worst-of put on A and B. How correlation affect the price.
Thanks! | j******g
发帖数: 3 | 2 自己顶一个，请赐教！
of
【在 j******g 的大作中提到】
: Have no clue on these questions..Anybody would like to shed some light?
: 1.If you short american put, you are long skew or shot? Why?
: 2.Two puts on asset A and B, A worths 3 and B worths 4. What’s the price of
: worst-of put on A and B. How correlation affect the price.
: Thanks!
| s***e
发帖数: 267 | 3 For one, maybe the question is: if skew increases, will the put worth more
or less, if the rest are fixed (if possible)?
If skew increases so will volatility. So the put value will increase... | s***e
发帖数: 267 | 4 Maybe I didn't get the second question. I thought intuitively, if you have
two RV, which are perfectly positively correlated, then it is equivalent to
just consider one of them. If you have two which are uncorrelated, then the
smaller of them will be smaller, and thus put will worth more? | z****i
发帖数: 406 | 5 不好意思我把题目看错了。。。
to
the
【在 s***e 的大作中提到】
: Maybe I didn't get the second question. I thought intuitively, if you have
: two RV, which are perfectly positively correlated, then it is equivalent to
: just consider one of them. If you have two which are uncorrelated, then the
: smaller of them will be smaller, and thus put will worth more?
| l***u
发帖数: 91 | 6 1. better to look senarios, if market crashes, the put get called, and your
long vega hedging position will worth a lot more thanks to the skew, that's
why people put risk reversal to hedge berm or american. or you can look at
dSpotdVol.
2. short correlation obviously.
of
at
【在 j******g 的大作中提到】
: Have no clue on these questions..Anybody would like to shed some light?
: 1.If you short american put, you are long skew or shot? Why?
: 2.Two puts on asset A and B, A worths 3 and B worths 4. What’s the price of
: worst-of put on A and B. How correlation affect the price.
: Thanks!
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