Recent content by mensatrader

down and out call is not short skew, as long as vega/gamma increase when markets experience strong rally, it is a long skew..

what you said is vega is concave for all types of regular k-out option, and vega is convex for all regular k-in options, but I guess this is not entirely about long/short skew (or third moment). For down and out call, in a positive skew (which means higher strikes has higher IV), the vega is...

thanks mate. are you sure down and out call is not long skew? when market goes up aggressively, the vega/gamma goes up as well; when market goes down and close to barrier, the vega should decrease, so it looks like long skew, right?

have tried already, didn't get answers wanted

Hi all, is it true that a knock out call will be cheaper in a positive skew than in a flat skew? why? From my understanding, The knock out call (down and out call) can be replicated by long one vanilla call with the same strike K1 and short a symetrical put K2 with ratio of square root of k1/k2...

yeah, :), but why the vega linearity rule for barrier options is like that?

I don't understand everything about the vega in the statement 1. Don't know what the statement mean. The statement comes from the dynamic hedging book. cheers

thanks a lot, DowJones yeah, was asking both 1 and 2. Markov and martingale does look very similar, right?

can anyone please help advise, many thanks.

Hi all Can anyone please help explain below 2: 1. the vegas emanating from the barrier part of a barrier option are concave for the seller. The combination barrier vega + vanilla vega will result in a concave vega for the long barrier (long knock in or short knock out) and a convex vega for...

thx mate

Thanks man. But we for sure receive the interest payment regularly, right? Besides, why this is a american binary on the default instead of the binary on not default?

Hi all assume that a trader buys a USD denominted Mongolian government note. As the note will trade at an interest rate differential with the default-free rate, it is convenient to view the payment differential s a form of forward American binary on the default by the Mongolian government. The...

:lol: thx, mate. Happy to discuss with you later!

yeah, exactly one-touch option!! Intuitively I can understand that the more volatile the underlying, the more probable the barrier will be touched, so that's why long vega for the buyer, right?