smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2025SMQ / 200746245466834
A Brief Guide to Pricing and Taxation of Variable Prepaid Forwards
Joseph Liberman / Nathan Sosner
derivatives / option pricingResource overview

A Brief Guide to Pricing and Taxation of Variable Prepaid Forwards

Paper2025

by Joseph Liberman, Nathan Sosner

Tags
derivativesoption pricing

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Joseph Liberman, Nathan Sosner

6