Questions tagged [synthetic]
The synthetic tag has no summary.
24 questions
2 votes
0 answers
103 views
TradingView Synthetic Market
I have been trying to find out how exactly is a synthetic market calculated in tradingview, and where is the external information coming from? My goal is to design a bot to implement this strategy, ...
- 121
0 votes
1 answer
116 views
Synthetic options between two underlyings
Given options (call and puts) for two given underlying pairs, A/USD and B/USD, is it possible to build synthetic options for the A/B pair? Concrete example: spot gold (XAU/USD) is around \$2600 and ...
- 105
0 votes
0 answers
52 views
Unitise an options portfolio
Suppose I have a portfolio of European index options (long call, short put) and risk free assets (buy bank bills) to create a synthetic long index position. I wish to unitise this portfolio to ...
- 1
0 votes
0 answers
138 views
Is the initial value of the portfolio replicating a forward zero?
This is from the book Financial Calculus: An Introduction to Derivative Pricing by Martin Baxter. By choosing appropriate weights in a portfolio of a stock and cash bond you can replicate the payoff ...
1 vote
1 answer
886 views
Simple Blockbootstrap instead of CircularBlockBootstrap
I am currently trying to Block-Bootstrap my Stock-return data in Python. I am doing that to generate synthetic data. I came across the CircularBlockBootstrap but found in a few discussions here that ...
- 13
2 votes
1 answer
1k views
Under Put-Call Parity, why do we add the cost of carry to Call prices but subtract them from the Stock price and Put prices?
In Natenberg (1994) Chapter 11 he outlines the Put-Call parity relationships. ...
user46424
0 votes
0 answers
176 views
Block Bootstrapping for synthetic data
I am trying Block Bootstrapping for synthetic data generation. For example in http://www.blackarbs.com/blog/synthetic-data-generation-part-1-block-bootstrapping the author @blackarbsceo use data from ...
- 126
0 votes
1 answer
186 views
Create a Synthetic Single Stock Future
Is it possible to create a synthetic long single stock future using the stock and it's vanilla options with the caveat that selling naked puts is NOT allowed? That is, you can write puts, but they ...
- 123
0 votes
0 answers
38 views
Synthetically sell to close puts in limited-margin IRA
Suppose: I bought an American put on a stock in a retail brokerage IRA, where I can't sell short or write uncovered options. The put is ITM and has served its purpose for hedging. The put is thinly ...
- 233
0 votes
2 answers
193 views
European Call option combined with Short selling
How would I calculate the abitrage profit from a combination of buying the $10 European call option and short selling X number of shares at t=0 and the coming out with a profit at expiry no matter ...
0 votes
1 answer
151 views
Papers on synthetic options
I'm looking for some scientific papers to get a better grasp of synthetic options mainly the valuation, eventual time decay etc.. I've looked in my university library and only but I only found obscure ...
- 23
2 votes
0 answers
122 views
synthetic convertible dynamics
A synthetic convertible bond can be created by combining a non-convertible bond with a long dated call option or warrant of the same issuer. Are there any papers which studies the dynamics of ...
- 2,244
1 vote
1 answer
302 views
Construction of synthetic deposits
I'm looking at the paper "Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping But Were Afraid To Ask". It describes how to construct synthetic deposits in order get a ...
- 151
2 votes
2 answers
683 views
synthetic currency pair
I want to generate price of a synthetic currency pair. For example, I have EURGBP, GBPUSD prices and I want to generate EURUSD price. I preferred to use these already existing currency pairs to verify ...
- 341
1 vote
0 answers
95 views
Creating a synthetic future
Let's say we have a time series for an illiquid future and we would like to replicate this time series using two time series for liquid futures using daily rebalancing. What would be a good approach ...
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