j******n 发帖数: 91 | 1 Suppose we have a contract with maturity T. It pays the maximum of two Europ
ean call options (C1 & C2) expiring at T, with the underlying stocks S1 & S2
, ( dS/S=rdt + sigma dW) S1 and S2 are correlated. How to get the analytical
form of the price of this contract? |
r**a 发帖数: 536 | 2 log(S^1_T) follows normal, log(S^2_T) follows normal. Once you know the
correlation between these two RM, then you can find the joint distribution.
Then you can price any option of S^1 and S^2.
Europ
S2
analytical
【在 j******n 的大作中提到】 : Suppose we have a contract with maturity T. It pays the maximum of two Europ : ean call options (C1 & C2) expiring at T, with the underlying stocks S1 & S2 : , ( dS/S=rdt + sigma dW) S1 and S2 are correlated. How to get the analytical : form of the price of this contract?
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j******n 发帖数: 91 | 3 Assuming the two stocks are linearly correlated, with correlation
coefficient rho. So the problem would be: what is the distribution of S^3_T,
where S^3_T = max[S^1_T, S^2_T]?
.
【在 r**a 的大作中提到】 : log(S^1_T) follows normal, log(S^2_T) follows normal. Once you know the : correlation between these two RM, then you can find the joint distribution. : Then you can price any option of S^1 and S^2. : : Europ : S2 : analytical
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j******n 发帖数: 91 | 4 I found a paper discussing about the expression of the exact distribution of
max(X_1, X_2) with \rho, it seems a little bit complicated. I do not think
the interviewer is expecting interviewee to write out that formula |
j******n 发帖数: 91 | 5 However, it seems that S^3_T is no longer log-normal...so pricing the
corresponding option is a problem...any idea? |
r**a 发帖数: 536 | 6 i am not sure if you should expect S^3_T is log-normal or not, since I did
not do the calculation by myself. But, as long as u have the full joint
distribution log(S^1_T) and log(S^2_T), u can price any European path
independent option related to S^1 and S^2.
【在 j******n 的大作中提到】 : However, it seems that S^3_T is no longer log-normal...so pricing the : corresponding option is a problem...any idea?
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j******n 发帖数: 91 | 7 大牛,再多说点呗?
【在 r**a 的大作中提到】 : i am not sure if you should expect S^3_T is log-normal or not, since I did : not do the calculation by myself. But, as long as u have the full joint : distribution log(S^1_T) and log(S^2_T), u can price any European path : independent option related to S^1 and S^2.
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r**a 发帖数: 536 | 8 这个还有啥说的呀?该说的我都说了。也告诉你咋算了。你动动手呗。光听别人说学不
到东西的。
【在 j******n 的大作中提到】 : 大牛,再多说点呗?
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x******a 发帖数: 6336 | 9 similar to chooser option |
r**a 发帖数: 536 | 10 equity的chooser用啥做?local vol?
FX里面TARN Chooser很烦的。
【在 x******a 的大作中提到】 : similar to chooser option
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