Pricing Products: Pricing Considerations and Approaches Pricing Strategies Chapter 10 - 11.
Various Approaches to Options Pricing
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Various Approaches to Options Pricing Robert Goldberg
description
Various Approaches to Options Pricing. Robert Goldberg. Option Price vs Valuation. Price. Valuation. Finding that Price. - PowerPoint PPT Presentation
Transcript of Various Approaches to Options Pricing
Various Approaches to Options Pricing
Robert Goldberg
Option Price vs Valuation
ValuationPrice
Finding that Price
EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF
Finding that Price
EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF RUB TRY ILS EUR GBP CZK SKK PLN HUF
PRICE
Approaches to Pricing Options
1) Historical Prices2) Indicative Prices3) Live Prices
Historical Prices
Internet
Historical Options Prices
Historical Prices
Internet
Exchanges
Historical Options Prices
Historical Prices
Internet
Exchanges
Financial Data Vendors e.g.
SuperDerivatives
Historical Options Prices
Historical Prices
Internet
Exchanges
Financial Data Vendors e.g.
SuperDerivatives
Brokers
Historical Options Prices
Indicative Prices
Live Prices
10.7010.65
10.50 10.6010.4010.25
EXCHANGES
Multiple Participants
Standardised Format
Anonymous Access
Clearer Relationship Required
Restricted Contracts
ADVANTAGES DISADVANTAGES
BANKS
High Liquidity
Single Bank Platforms
Relationship Required
Bank may know your direction
You may give away direction
ADVANTAGES DISADVANTAGES
BROKERS
Tight prices
Anonymous
Slow in fast market
Expensive
Credit Issues
ADVANTAGES DISADVANTAGES
MULT-BANK PLATFORMS
No OTC restrictions
Tight prices
Aggregation with Stack of Prices
Options Prices are Instant.
No Credit Issues
Anonymous Trading and Price Discovery
ADVANTAGES
So What is My Option Price?
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