network profile
| bio | website | |
|---|---|---|
| location | Chicago | |
| age | ||
| visits | member for | 1 year, 9 months |
| seen | Feb 14 '12 at 21:51 | |
| stats | profile views | 4 |
New in quantitative finance world.
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Feb 14 |
comment |
What's the connection between implied vol curve of SPX and SPY? Thanks glyphard. I understand there is no exact math solution to this practical problem. As a practitioner, I should be familiar with these markets in detail. Your comment is helpful. Thanks. |
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Feb 14 |
comment |
What's the connection between implied vol curve of SPX and SPY? Hi Fishman, thanks for your comment. I know it's more like an annoying practical issue than quantitative problem. In a quant aspect, I use Crank-Nicolson to solve discrete dividend American option pricing problem. I guess my motivation is not just doing some math exercise. So I want to find some help on how to use the information gained from two relative markets. Again, I admit this is painful. |
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Feb 10 |
awarded | Editor |
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Feb 10 |
comment |
What's the connection between implied vol curve of SPX and SPY? Hi Brian, thanks for your comment. You mean I should use different interest rates here? What I am doing now is: I get the interest rate from Eurodollar future, and use it for both market. But I use dividend yield for SPX, while make assumptions on the discrete cash dividend for SPY. |
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Feb 10 |
revised |
What's the connection between implied vol curve of SPX and SPY? added 20 characters in body |
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Feb 10 |
comment |
What's the connection between implied vol curve of SPX and SPY? being new here. I'll rewrite the question. Thanks for your advice. |
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Feb 10 |
awarded | Student |
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Feb 10 |
asked | What's the connection between implied vol curve of SPX and SPY? |
