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Sep
9
asked Finding historical data for indices
Jul
1
comment what is the actual point of vega on real option data
but since option A and B are different contracts, there is no reason that a change in A's i.v will result in the same change of B's i.v right ? So I don't see how this hedge can work
Jun
26
awarded  Supporter
Jun
26
comment what is the actual point of vega on real option data
but in that case, can we really say that the remaining risk is volatility risk and not just "other types of risks not really explained" ? For instance, I understand that the remaining pnl is driven by vega, but that's just a way of saying that the remaining pnl is due to a change in the option price... which doesn't say much
Jun
26
comment what is the actual point of vega on real option data
I don't really see how computing the vega with model volatility changes anything. If the calibration is done correctly the implied vol given by the model is the same as the i.v. from the market. The fact that you may have volatility forecast for the future doesn't really change the current value of the vega for a given contract, at the current time.
Jun
25
asked what is the actual point of vega on real option data
Aug
21
awarded  Student
Aug
21
asked signal processing + finance?