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Could you please show me where it has been written ?

The style has nothing to do with that, but the maturity. American style binaries have a maturity that can be shorter, but the payoff remains the same and remains in a discrete form. Hence one can't replicate a vanilla with a strip of CON options.

American or european style binaries have the same payoff : that is $1, as far as the spot ends up above the strike, no matter how far. Assume your vanilla 100 call ends up in the money by $0.10, (final spot is 100.10) . How could a binary replicate this payoff? There is no way.

Vanillas can't be replicated with binaries. On the binary side, the payoff is one as far as the strike is reached, that means if the spot S rises to strike+dS, the payoff will be 1. On the vanilla side, If the spot rises to strike+dS, the payoff will be ds, that is around 0 Pricing doesn't...

I thought he used to work at Gampire Squid :D

I disagree. Try some dry ice with water. Hence, behind some smokes there is just water.

Okay, nothing behind the smoke. Thx

I'm still waiting for yours... Don't forget you got an option pricing scheme without a model that would match market prices to show us.

Well I don't know, "I think I got intellectual rights on it..." Here it is. That is ATMF, C/S=sqrt(sigma²T/(2*3.14159)) MasterAtWork

The only thing that may be worthwhile until now using TJ's trick, is to show how ATMF call delta is up to 0.5 (ATMF call delta=0.5+0.5C/S, and as far as C>0 and S>0, ATMF call delta>0.5 ). But it's not new (See Derman ).

I can't agree more :p I just wonder how he would include demand and supply in his pricing scheme to match market prices.

Please, show us. I won't do the stuff you claimed was yours

tradingjournals, Martinghoul will show you how binomial model works. I played the game, show you how useless a simple value can be (BTW, how would you get the maturity ? Don't tell us you'd need a model ! ) I 'm sure that you got something more interesting to show now. So you can price an...

1- Both for sure.That's why I posted the derivation of your "patented" trick and show how everybody could. 2- It sounds as if you found no escape and tried to invert the situation. Are you for real ? You're angry, don't you?

http://www.elitetrader.com/vb/showthread.php?s=&threadid=201844&perpage=6&pagenumber=7 You got be kidding me...

1- Because you did it yourself. Remember "So, It did not occur to you that in case of interest you could also use as strike the forward price?" My man... 2- I didn't have to. You set a no IR world. Remember ? Please don't be so angry. There is nothing to win.

My man, I understand that you're angry I posted the derivation what you called a mystery. Sorry Mister Guru. Again, with Donnap's example an IR set to 1%, you got a strike at 48.43136. Do you see that strike on the market ? Does it occur to you that you can't always find a strike that...

Course 'it occurs to me'. I derived it for you on page 7 ! If I did, there is no quantitative mystery. So no news here and no guru. So you got what you called "your trick" that gives you a call value stroke at the forward price given a delta and a stock price. Nothing wrong with that. I think...

First of all, would you please answer my own, on page 11 "What is the point ? I may miss something so please forgive me if I'm wrong but : Would you please tell me what is the value of a 0.5311 delta 3 years call strike 47 with a spot at 47 5% volatility using BSM with IR set at 0.1% and...

What is the point ? I may miss something so please forgive me if I'm wrong but : Would you please tell me what is the value of a 0.5311 delta 3 years call strike 47 with a spot at 47 5% volatility using BSM with IR set at 0.1% and the same call value using what you call your trick ?