In a reset call (put) option, the strike is reset to the asset price at a predetermined future time, if the asset price is below (above) the initial strike price. This makes the strike path-dependent. The payoff for a call at maturity is equal to max((S-X)/X, 0) where is equal to the original strike X if not reset, and equal to the reset strike if reset....
this indicator serves to differentiate the classic source of MACD and add the: DYNAMIC MACD and DYNAMIC BAND with these inputs you can modify the inputs of the different Bar's, you can choose between: Candles = classic Candles Heikin Hashi Kagi Line break Pointfigure Renko To use the Dynamic Macd and Band just check the box: Use Dynamic Rsi???...
A fade-in call has the same payoff as a standard call except the size of the payoff is weighted by how many fixings the asset price were inside a predefined range (L, U). If the asset price is inside the range for every fixing, the payoff will be identical to a plain vanilla option. More precisely, for a call option, the payoff will be max(S(T) - X, 0) X 1/n...
A log contract, first introduced by Neuberger (1994) and Neuberger (1996), is not strictly an option. It is, however, an important building block in volatility derivatives (see Chapter 6 as well as Demeterfi, Derman, Kamal, and Zou, 1999). The payoff from a log contract at maturity T is simply the natural logarithm of the underlying asset divided by the strike...
A log option introduced by Wilmott (2000) has a payoff at maturity equal to max(log(S/X), 0), which is basically an option on the rate of return on the underlying asset with strike log(X). The value of a log option is given by: (via "The Complete Guide to Option Pricing Formulas") e^−rT * n(d2)σ√(T − t) + e^−rT*(log(S/K) + (b −σ^2/2)T) * N(d2) where N(*) is...
This study shows the prediction interval as Bollinger Bands using Student's T-distribution. This means that the bands will be wider when the data features higher variation, as well as when the sample size (in the form of length) is smaller. The bands will also be wider when the confidence level is lower. The opposite is also true. Assuming we set a confidence...
This script shows both the Bollinger Band Width(BBW) and %B on the same indicator window. Both the BBW and %B are introduced by John Bollinger(creator of Bollinger Bands) in 2010. Default Parameter values: Length = 20, Source = Close, Mult = 2 Bollinger Bands Width (BBW): Color = (Default: Green ) - I consider stocks with "BBW >= 4" are at a volatile...
A log contract, first introduced by Neuberger (1994) and Neuberger (1996), is not strictly an option. It is, however, an important building block in volatility derivatives (see Chapter 6 as well as Demeterfi, Derman, Kamal, and Zou, 1999). The payoff from a log contract at maturity T is simply the natural logarithm of the underlying asset divided by the strike...
At maturity, a powered call option pays off max(S - X, 0)^i and a put pays off max(X - S, 0)^i . Esser (2003 describes how to value these options (see also Jarrow and Turnbull, 1996, Brockhaus, Ferraris, Gallus, Long, Martin, and Overhaus, 1999). (via "The Complete Guide to Option Pricing Formulas") b=r options on non-dividend paying stock b=r-q options on...
Power options can lead to very high leverage and thus entail potentially very large losses for short positions in these options. It is therefore common to cap the payoff. The maximum payoff is set to some predefined level C. The payoff at maturity for a capped power call is min . Esser (2003) gives the closed-form solution: (via "The Complete Guide to Option...
Standard power options (aka asymmetric power options) have nonlinear payoff at maturity. For a call, the payoff is max(S^i - X, 0), and for a put, it is max(X - S^i , 0), where i is some power (i > 0). The value of this power call is given by (see Heynen and Kat, 1996c; Zhang, 1998; and Esser, 2003). (via "The Complete Guide to Option Pricing Formulas") c = S^i...
There are two main categories of power options. Standard power options' payoff depends on the price of the underlying asset raised to some power. For powered options, the "standard" payoff (stock price in excess of the exercise price) is raised to some power. A power contract is a simple derivative instrument paying (S/ X)^i at maturity, where i is some fixed...
This script allows you to monitor several Forex Indices Volatility.
A moneyness option is basically a plain vanilla option where the strike is set to a percentage of the future/forward price. For example, a 120% moneyness call would have a strike equal to 120% of the forward price. A 120% moneyness put would have a spot equal to 120% of the strike. The value of this option is given in percent of the forward. The value of a...
this scrip is modified of Performance Table () of TradingView user @BeeHolder = Thank u very much. - @BeeHolder formula is based on daily basis, but my calculation is based on respective day, week and month. - The formula of the calculation is (Current Close - Previous Close) * 100 / Previous Close, where Past value is: 1D = close 1 day before 5D = close 5 day...
A forward start option with time to maturity T starts at-the-money or proportionally in- or out-of-the-money after a known elapsed time t in the future. The strike is set equal to a positive constant a times the asset price S after the known time t. If a is less than unity, the call (put) will start 1 - a percent in-the-money (out-of-the- money); if a is unity,...