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1

Probably because volib assumes that the Black-Scholes holds which as we not is not true. A better way to compute implied volatility is to use a Moment-Free-Implied-Measure. One possibility is to closely following the model-free estimate proposed by Demeter et al. (1999) and Carr and Madan (1998) who show that if one owns a portfolio of options across all ...


3

A possible reason may be your computation of maturity period. Exchange compute the maturity in minute till expiry and then divide it by total trading minute in a year to arrive at maturity. An another possible reason may be your choice of risk free interest rate. There are various proxy for risk free interest rate like Treasury rate and LIBOR of different ...


4

Note that \begin{align*} (K-S_T)^+ \ge K-S_T. \end{align*} Then \begin{align*} p &\equiv E\Big(e^{-rT} (K-S_T)^+ \Big)\\ &\ge E\Big(e^{-rT} (K-S_T) \Big)\\ &=K\, e^{-rT} - S_0\\ &= 670 \times e^{-0.05 \times 55/365} - 563.48\\ &=102.49. \end{align*} However, the option price is 101.375, which is smaller. This is the reason that you have ...


0

"So how come traders actually use that information in trading if itstems from an 'arbitrary' Blackbox?". You make a bet on realized vol via delta-neutral option position. if you believe that realized vol will be different from IV of BS (or your another model) than do exactly what you mention in question 2. if IV is too high: sell option, delta-hedge with ...


0

For the first question there are two approaches, the first is you can simply backfill and use the last minutes tick if it exists. If there is no liquidity, the second way is you can try cubic or other interpolations to see if it creates a better curve.


0

To get IV I do the following: 1) change sig many times and calculate C in BS formula every time. That can be done with OIC calculator All other parameters are kept constant in BS call price calculations. The sig that corresponds to C value closest to the call market value is probably right. 2) without OIC calculator for every chosen sig I am using old ...


2

You can guesstimate by vega weighted implied vol. This is why: Say that you have a portfolio of options with prices $P_j$. Each one of them has a different pricing function $f_j$ (as function of vol) and a different implied vol $\sigma_j$. For each option $f_j(\sigma_j)=P_j$. Now you put them together in a single product. If the implied vol of the product ...


2

The simple answer is no. You need historical data to backuo the implied correlation. A smart way to do it is to use Buss and Vilkov (2009) methodology. Denote the risk-neutral correlation between each pair of stocks: $\rho_{ij,t}^Q$. The presence of the correlation premia led Buss and Vilkov (2009) to estimate the risk-neutral correlation by making: ...



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