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seen Oct 8 at 15:54

Nov
7
comment American Option price formula assuming a logLaplace distribution?
Just few basic "sanity checks": What do you mean "calls being routinely double puts"? If you're looking at ITM calls, they certainly can be double the price of puts, or even more. Or are you comparing ATMF? Did you accidentally add "drift" into your model? Try with r=0.
Nov
5
comment How to properly take averages to reduce data in regression/panel data analysis
Can't help directly, but can comment: 1 if you have major differences between mean and median based results - your data has too much skew. You need to cover your basics - are there outliers, is there a skew in population or in your grouping? Can you transform your data (e.g. power transform, or some ratio) to make it more normal? If 2 My Matlab usually can handle this size of data. Are you using 32 or 64 bit matlab? What kind of regression model do you use?
Oct
25
comment evaluation of volatility models using loss functions
I assume if you have test your model with M-Z, and find it to be highly biased, you would do something about it in practice ... I think R^2 is more informative than you suggest.
May
29
comment Which greeks do you need to hedge if you want to implement an implied-volatility security?
Excellent points Freddy!
May
27
comment Probability distribution of maximum value of binary option?
Clarify the question: do you mean - if we consider price series of a binary option, what is the PDF of maximum of the price of such option?
May
26
comment What are VIX back-month futures based on?
I'm sure it's somewhere on the CBOE or CFE website. Here's one quote: "The settlement date for VIX futures is the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date")." The contracts are the ones used the settlement price calculation.
May
23
comment What is the market standard for pricing VIX futures?
@glyphard Respectfully disagree. Theoretically, and practically VIX futures cannot be replicated - VIX index is calculated as a square root of a basket of options. Square root is a non-linear transformation, making arbitrage impossible. Hedging off SPX options is quite risky - this is not your regular basis risk - the basis in SPX/VIX is nonlinear with its own set greeks, and VIX traders that I know do not use SPX for hedging, but rather trade in the entire VIX futures and options product suite, since in the VIX options are the dominant market with much greater volume.
May
23
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
Brian B is correct, VVIX is definitely not kurtosis, but probably can be used as a proxy if properly scaled. The reference is here faculty.baruch.cuny.edu/lwu/papers/bias.pdf, see page 8, formula (16)
Apr
1
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
What exactly are you trying to create? 30-day implied vol curve?
Mar
4
comment How should I calculate the implied volatility of an American option in a real-time production environment?
@Brian, please elaborate.
Sep
14
comment How should I calculate the implied volatility of an American option in a real-time production environment?
Control variates? He's pricing vanillas, why would he be doing MC?
Feb
26
comment Why are GARCH models used to forecast volatility if residuals are often correlated?
As a vol trader I second Brian's opinion - GARCH is popular in academia, not in trading.