Homunculus Reticulli

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visits member for 2 years, 4 months
seen Mar 20 at 7:50

Mar
4
accepted Is there a measure for the 'degree' of cointegration
Mar
4
asked Modified bisection formula for deriving implied volatility for a dividend paying american option
Mar
4
answered How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Mar
4
comment How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Thanks for your answer. Its not the smile that I want to calculate (as I mentioned earlier, I am working with only ATM options - so at the most, I am working with two strikes [if the underlying lies between two strikes]). I am looking to find a way to calculate a SINGLE number from the ATM calls and puts (using some kind of weighting). The more I think of it, since I am only dealing with two strikes at the most, a simple linear interpolation will do - although I may probably weight the vols by Open Interest
Mar
3
asked How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Feb
10
asked Why are there so many different ways of calculating historical volatility
Feb
6
comment Calculating log returns using R
@PatrickBurns: +1 for your input. I preferred your more succinct syntax. Would have accepted that as an answer.
Feb
6
accepted Calculating log returns using R
Feb
6
awarded  Editor
Feb
6
revised Calculating log returns using R
edited body
Feb
6
asked Calculating log returns using R
Jan
31
accepted A gentle introduction to cointegration
Jan
31
asked A gentle introduction to cointegration
Jan
31
asked Is there a measure for the 'degree' of cointegration
Jan
3
comment How to 'calibrate' simple pricing models for equity index options and equity options?
Hi Tal, thanks for your feedback. I will use it as a starting point for any subsequent investigation.
Jan
3
awarded  Scholar
Jan
3
accepted How to 'calibrate' simple pricing models for equity index options and equity options?
Jan
2
comment How to 'calibrate' simple pricing models for equity index options and equity options?
@TalFishman: The (historic) 'fair' bid/ask values differ from the (historic) actually "firm" quotes - in terms of price. For now, I am not concerned WHY there is a difference between the theoretical value and the "firm quotes" (I'll leave the academics to worry about the WHY). Regarding your last question - you may have misinterpreted my question. I have no views (one way or the other) on the historical data. All I want to do at this stage, is to be able to compute the 'missing' fair value bid/ask prices for strikes which don't have this data, using the inputs I outlined in my question.
Dec
31
asked How to 'calibrate' simple pricing models for equity index options and equity options?
Dec
30
awarded  Teacher