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visits member for 2 years, 8 months
seen Feb 14 '12 at 21:51

New in quantitative finance world.


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.
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.
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.
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.