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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 1 year, 9 months |
| seen | May 2 at 13:19 | |
| stats | profile views | 15 |
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Dec 30 |
revised |
How to price a calendar spread option? added 447 characters in body |
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Dec 7 |
comment |
Taking into account the correlation in Barrier options on a Basket @FKaria: Thanks for your explanation. Now I understand the relevance of your question. One workaround is of course to only check the barrier at the discrete timesteps, but this is sometimes a crude approximation I guess. |
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Dec 7 |
comment |
Taking into account the correlation in Barrier options on a Basket Is it important for you that prices at the end of the time interval are known? That is a strange question from a industry point of view - because if prices at the end of the time interval are known then probably we have complete information about the path of the basket up to that time? Perhaps you mean that prices at the start of the time interval are known? |
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Dec 6 |
comment |
What is the market standard for pricing VIX futures? Thanks very much for your very interesting answer! I have a follow-up question: VIX futures are not possible to replicate using SPX options? (although the VIX itself is) So in principle this should not give a good pricing model? Do you have some suggested article for which pricing model to use? |
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Dec 6 |
asked | What is the market standard for pricing VIX futures? |
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Nov 12 |
comment |
What programming languages are most commonly used in quantitative finance? Beer4All - thanks for your comment! Regarding numerical libs in C#, do you mean external libs (free? commercial?) or those shipped by Microsoft? |
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Nov 12 |
awarded | Supporter |
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Nov 11 |
asked | How to price a calendar spread option? |
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Sep 20 |
awarded | Nice Question |
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Sep 17 |
awarded | Editor |
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Sep 17 |
revised |
How to price a volatility-index option? deleted 1 characters in body |
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Sep 17 |
awarded | Student |
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Sep 17 |
asked | How to price a volatility-index option? |
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Sep 17 |
comment |
How should I calculate the implied volatility of an American option in a real-time production environment? Here is a link to the Leisen-Reimer article: u.cs.biu.ac.il/~mschaps/finance/readings/options/… |
