206 reputation
16
bio website
location
age
visits member for 3 years, 4 months
seen Dec 15 at 15:25

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.
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?
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?
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?
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/…