derivatives-pricing

My question is simple, consider a European call with payoff max(S_T-K, 0), Let's suppose that the underlying stock follows a binomial tree with up and down factors I know as we take n goes to infinity that the stock is log-normally distributed at time t=T (I know how to derive it). The idea is to derive the B-S-M pricing formula as the expected value of the present value of max(S_t-K, 0) using t…

Abstract The paper re-examines the principle of the bird-in-hand under the dynamic situation in the emerging spots market in Pakistan. Our sample consisted of 100 KSE—100 companies dating 2009–2024. The abnormal returns are separated out using an event study model and a rolling window version of the CAPM, and we have constructed a new Dividend Announcement Factor (DAF) to capture systematic varia…

A comprehensive masterclass on options collar variants used by institutional portfolio managers and corporate treasurers. From the standard zero-cost collar and ratio collar mechanics to participating collars, three-way seagull structures, and temporal rolling strategies for dynamic risk management. 📊 Deep Research • 📈 Options Strategy Topics: quantitative finance, investment analysis, financia…

I want to ask a question about the answer provided here: https://quant.stackexchange.com/a/35211/61083 . I'm wondering if there is mathematical proof as to why it is working. Meaning if I reprice a vanilla option of strike K, with a stripe of vanillas of strikes ranging from K1 to KN why the gamma would be capped when the option is ATM and close to expiry and not explode.

The rates offering is adding Japanese, Scandinavian, South African and Australian futures.

This study examines and analyzes the effect of the capital adequacy ratio and loan-to-deposit ratio on return on assets in the context of green banking, specifically for banking companies listed on the Indonesia Stock Exchange (IDX) during the 2022-2024 period. This study aims to provide empirical evidence on how financial performance indicators, particularly the capital adequacy ratio and liquid…

Info on Risk Reversals for context In the FX vanilla options market buying risk reversal involves selling a lower strike put and buying a higher strike call. The price of such a structure is a volatility spread . Thus, if we assume the existence of a delta-volatility smile function , which has the appropriate abilities to convert deltas to strikes and vice versa then one can easily use that Smile…

SummaryThis technical note examines the predictive power of SIRRIPA (Stock Internal Rate of Return Including Price Appreciation) using 27 comparable Japanese technology and electronics stocks ranked as of December 23, 2025. Comparing initial SIRRIPA levels with subsequent stock performance over approximately 4.5 months, the analysis finds a positive and economically meaningful relationship. Cross…

This study examines whether seasonal mood fluctuations that are driven by reduced daylight exposure in fall and winter months affect how retail investors respond to market risk. The study uses daily stock-level data from the Nasdaq Retail Trading Activity Tracker (RTAT) from 2016–2026. The study tests whether the relationship between market volatility (VIX) and retail investor sentiment (RTAT) di…

From the Derivatives Practice Group: This week, the CFTC filed an amicus brief in the U.S. Court of Appeals for … The post Derivatives, Legislative and Regulatory Weekly Update (May 15, 2026) appeared first on Gibson Dunn .

This study compares the Single Index Model and the Black-Litterman model in forming an optimal stock portfolio on a fixed sample of recurrent IDX30 constituents in order to assess differences in portfolio composition, return, risk, and risk-adjusted performance in the Indonesian capital market. This study compares the Single Index Model and the Black-Litterman model in forming an optimal stock po…

Q1 marked the first quarter in years that declining rates hedges led our flows. Many depositories capitalized on the 40+ bp spike in rates by unwinding pay-fixed swaps or executing receive-fixed swaps, which became income accretive. Options were less popular but have re-emerged as market volatility calmed from March highs, making the asymmetric payoff profile more affordable. Continue reading "He…