Accumulator, decumulator, target, pivot are all structured products based on complex derivatives. This post is explaining how they work and
Category: Derivatives
FX Options pricing – Plain Vanilla European model (Part II)
Part II: End of day and online FX options pricing processes This article is the continuation of the part I.
FX Options pricing – Plain Vanilla European model (Part I)
Part I: Description of FX options pricing basic requirements 1.1 Market data feeds To be able to price FX options, the
Implied and historical volatility
Volatility is one of the parameters needed to calculate the price of a currency option between its trade date and
FX Options pricing (Exotic) – European Single Barrier options
Definition Barrier options are part of exotic options. They differ from standard (or vanilla) options by having extra criteria to
Introduction to Delta
Delta is one of many indicators that option pricing models are providing (Greeks). It represents the practical level for exercising
La notion de Delta
Le Delta fait partie des nombreuses variables (que l’on appelle les “Grecs”) qu’un outil de pricing d’option va retourner. Il représente
FX Options: relation between premium prices in percentage vs in pips
FX options can be negotiated either in percentage or in pips (price interest points). This illustrates the various equivalences to
Volatilité historique et volatilité implicite
La volatilité est un des paramètres nécessaires pour calculer le prix d’une option de change entre sa date de valeur
Utilisation pratique du Delta : la Gestion en Delta neutre
Utilisation pratique du Delta : la Gestion en Delta neutre Une position optionnelle induit un risque de change, au même
Practical use of the Delta: Delta neutral management
An FX option position induces a risk, just as a spot or a forward position. A “delta neutral” management consists
Produits Dérivés: les Options
Introduction Les Options – Définitions Les différents types d’options Objectifs poursuivis Stratégies d’options Stratégies spécifiques aux options de taux Introduction
FX Options Products
Introduction Options – Definition Options strategies ————————————————————————————- Introduction Derivatives markets or products are named ”Derivatives” because they are “derived”