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7
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648 views
How to calculate the most realistic historical option prices with additional publicly available parameters
This is a follow up question of this one.
My aim is to create the most realistic historical option prices possible with publicly available data. I want to do this for backtesting purposes.
The ...
5
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2answers
582 views
Constructing an approximation of the S&P 500 volatility smile with publicly available data
Besides of the VIX there is another vol datum publicly available for the S&P 500: the SKEW.
Do you know a procedure with which one can extrapolate other implied vols of the S&P 500 smile with ...
