Possible Duplicate: Looking for a recommendation for a real life volatily trading book. I recently came in contact with a quant desk that traded volatility. The discussion only highlited my ...
to limit interest rate paths to a 'reasonable' range (if we could define reasonable). Now we calibrate log-normal skew and mean reversion monthly to robust basket of atm swaptions and in and out ...
In theory, how should volatility affect the price of a binary option? A typical out the money option has more extrinsic value and therefore volatility plays a much more noticeable factor. Now let's ...
There exist several volatility indices, such as the CBOE Volatility Index (VIX). There are also options on such indicies. What is the best way to price a volatility-index option? Is there a simple ...
For the Black-Scholes model my feeling is that the volatility parameter is like sweeping stuff under the rug. Are there models which improve on the volatility aspect of Black-Scholes by adding other ...