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comment Implied volatility of a complex options position
Why the downvote? Is this as easy as it sounds or are you just having a bad day?
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asked Implied volatility of a complex options position
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awarded  Yearling
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asked Arbitrage bounds for Black-Scholes
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comment Regression model syntax
The paper outlines the construction of $D$ and $\sum_{i=0}^HD_{t-i,1}$ is basically the rolling sum of $D$ for each $k$ from $t-i$ through $t$. I also agree that $r_{t+1} + ... + r_{t+H}$ is dependent on $...\sum_{i=0}^HD_{t-i,1}...$. Think about a very simple regression where $\hat{y} = \alpha + \beta x + \epsilon$. When constructing the model, there exists an existing dependent variable $y$ upon which to regress, or train the model. What is the "$y$" in this case?
Jun
15
comment Regression model syntax
Thanks for the comment but I don't think you answered my question. I understand what the lhs and rhs represents. I also understand that the regression models the future $r_{t+1}+...+r_{t+H}$ returns. What I am asking is in the actual construction/implementation of the model, what is the independent variable? We clearly do not yet have future returns, so upon what are we regressing?
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15
revised Regression model syntax
fixed regression model latex
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revised Regression model syntax
clarified independent variables
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asked Regression model syntax
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comment VIX options historical data
Ah sorry, did you check iVolatility.com for VIX options data?
Dec
25
comment VIX options historical data
You can get the SPX option data and compute the VIX values yourself or check out iVolatility.com.
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