You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
This is not completely correct right? If at expiry S=110 but the barrier H=115 was hit sometime before expiration, the knock-in call with K=100 would still pay 10, not zero.
It might've been at request .... :), expect more to come; in part to congratulate Savva on the 10K. The 10K is why I said you know what, heck, I'm actually gonna do this thing I've really wanted to do. So call it an excuse to splurge haha
Oh yeah :) Looking forward to the upcoming video, barrier options are fascinating. Some of the pricing reflexivity around the barrier and so forth, pretty cool stuff.
@@NEDLeducation Wow, that was faster than I thought it would be! My understanding is I already used my hour session with our meet-and-greet correct? If so, I may just shoot you occasional questions post release of the video and after I have had time to evaluate it :).
I purchase the platinum membership and I absolutely love exotic options. When I spoke to Savva over Zoom, I asked him, with respect what counts as my video request, to explain the math, present it in code (he's choosing to do an Excel version as well), and to use non-normal distributions. E.g. whether that be Johnson-SU, a rolling distribution, etc. I cannot wait! So excited. Let me know if you have any particular ideas to suggest and maybe I'll mention it for my next video request
Very well explained. Please make next videos asap! BTW, please make videos on various exotic swaps as well as other exotic options like Asian, Binary, Basket, Bermuda, range Options etc. This will be indeed exciting! Thanks and regards
Cannot promise the ASAP part because I gave him a difficult task (done in code, non-normal distribution (perhaps rolling), math explained). However, I have 11 more videos I can recommend to him, I was thinking worst-off basket options would be interesting and auto-callables, but go ahead and hit me with the specifics of what you'd like to see, maybe I'll ask him to model something special if I like the suggestion. I did opt to avoid digitals as they are just, well, simple. Also, I'm hoping to build an exotic options repo on github, I have the repo up, and a little code in it, but if you know a thing or two and that catches your interest, it's a hobby project, and I'd be happy to invite you in.
It would be interesting to see a video on valuation, I think it must be tough especially for knock ins, with the prospect of different observation periods daily/fortnightly etc. and in trying to model for a successful knock ins given the length of time after the knock in matters, I would guess you have to run a sim on vanilla strike and sim on knock in strike over multiple tenors shorter that the barrier option tenor and average across those results, and then divide by successful percentage of vanilla sim to hit knock in barrier, I’m guessing though, and not sure how you would factor different observation periods into this. Would be cool to see how it’s done. Thanks for the video.
Ohh, you know a thing or two about exotics. If you're interested I'm wanting to code an Exotic options package for github, happy to take on anyone who understands these things. :)
This is not completely correct right? If at expiry S=110 but the barrier H=115 was hit sometime before expiration, the knock-in call with K=100 would still pay 10, not zero.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
This is not completely correct right? If at expiry S=110 but the barrier H=115 was hit sometime before expiration, the knock-in call with K=100 would still pay 10, not zero.
You are literally an angel, thank you so much for explaining and providing the material
First video after 10K-was eagerly awaiting!
Exotic options are very limited in literature, such a good choice of video!
It might've been at request .... :), expect more to come; in part to congratulate Savva on the 10K. The 10K is why I said you know what, heck, I'm actually gonna do this thing I've really wanted to do. So call it an excuse to splurge haha
Oh yeah :) Looking forward to the upcoming video, barrier options are fascinating. Some of the pricing reflexivity around the barrier and so forth, pretty cool stuff.
Hi Stephen, and thanks for your comment! Stay tuned for a video on valuation, it is already recorded and will be posted soon :)
@@NEDLeducation Wow, that was faster than I thought it would be! My understanding is I already used my hour session with our meet-and-greet correct? If so, I may just shoot you occasional questions post release of the video and after I have had time to evaluate it :).
Great video ! please do a series on exotics options ! thanks !!!
I purchase the platinum membership and I absolutely love exotic options. When I spoke to Savva over Zoom, I asked him, with respect what counts as my video request, to explain the math, present it in code (he's choosing to do an Excel version as well), and to use non-normal distributions. E.g. whether that be Johnson-SU, a rolling distribution, etc. I cannot wait! So excited. Let me know if you have any particular ideas to suggest and maybe I'll mention it for my next video request
Thanks for much for the video!
Lovely video, smashed subscribe immediately! thank you.
Hi Lili, and thanks for joining the channel! Stay tuned for more content on derivatives in the future :)
Very well explained. Please make next videos asap! BTW, please make videos on various exotic swaps as well as other exotic options like Asian, Binary, Basket, Bermuda, range Options etc. This will be indeed exciting! Thanks and regards
Cannot promise the ASAP part because I gave him a difficult task (done in code, non-normal distribution (perhaps rolling), math explained). However, I have 11 more videos I can recommend to him, I was thinking worst-off basket options would be interesting and auto-callables, but go ahead and hit me with the specifics of what you'd like to see, maybe I'll ask him to model something special if I like the suggestion. I did opt to avoid digitals as they are just, well, simple.
Also, I'm hoping to build an exotic options repo on github, I have the repo up, and a little code in it, but if you know a thing or two and that catches your interest, it's a hobby project, and I'd be happy to invite you in.
Amazing content
It would be interesting to see a video on valuation, I think it must be tough especially for knock ins, with the prospect of different observation periods daily/fortnightly etc. and in trying to model for a successful knock ins given the length of time after the knock in matters, I would guess you have to run a sim on vanilla strike and sim on knock in strike over multiple tenors shorter that the barrier option tenor and average across those results, and then divide by successful percentage of vanilla sim to hit knock in barrier, I’m guessing though, and not sure how you would factor different observation periods into this. Would be cool to see how it’s done. Thanks for the video.
Ohh, you know a thing or two about exotics. If you're interested I'm wanting to code an Exotic options package for github, happy to take on anyone who understands these things. :)
Hi Daniel, and thanks for the feedback! Yes, I will release a video on simulations and their application to barrier option valuation very soon :)
very nice
This is not completely correct right? If at expiry S=110 but the barrier H=115 was hit sometime before expiration, the knock-in call with K=100 would still pay 10, not zero.
Is the knock in and reverse knockout payoff structure same
Great work. Excuse me for my ignorance but: How would you modify the spreadsheet if you want to simulate a digital ( "cash or nothing") option?
Hi. Which broker offers knock in and knock out options?
Nadex & IG