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  • 12 votes cast
Jan
13
awarded  Favorite Question
Jan
4
asked AmericanOptionImpliedVolatility strange answers for calls IV's
Jan
4
accepted AmericanOptionImpliedVolatility - root not bracketed issue in QuantLib/R
Jan
2
comment AmericanOptionImpliedVolatility - root not bracketed issue in QuantLib/R
That helps -- thanks. But let's try to look at a specific example as I'm still stuck trying to match what Yahoo shows: code From Yahoo -- today -- an MSFT 40 PUT, for July 15, 2016 has the following (bid=0.38, ask=0.40) - IV = 31.86% code > AmericanOptionImpliedVolatility(type="put", value=0.39, underlying=55.48, strike=40, dividendYield=0.00, riskFreeRate=0.01, maturity=0.53, volatility=0.2) [1] 0.3224758 attr(,"class") ' So this matches.
Jan
2
asked AmericanOptionImpliedVolatility - root not bracketed issue in QuantLib/R
Dec
29
comment Compute stock price probability distribution from option data (IB method & negative probabilities issue)
I tried -- I get wildly fluctuating values including negative values that look nothing like a PD. Any help? code nstrikes = nrow(x.calls) x.pd <- rep(0, nstrikes) for (i in 2:(nstrikes-1)) { call.cur <- x.calls$mid[i] call.prev <- x.calls$mid[i-1] call.next <- x.calls$mid[i+1] call.h <- ((x.calls$strike[i] - x.calls$strike[i-1]) + (x.calls$strike[i+1] - x.calls$strike[i])) / 2 butterfly.val <- (call.next - 2 * call.cur + call.prev) / call.h x.pd[i] <- butterfly.val }
Dec
22
asked Compute stock price probability distribution from option data (IB method & negative probabilities issue)
Aug
1
awarded  Popular Question
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26
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24
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Jul
2
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Jun
9
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May
8
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Mar
21
accepted How do I calculate probability distribution of stock prices given option prices?
Mar
20
asked How do I calculate probability distribution of stock prices given option prices?
Feb
23
accepted How to cluster ETFs to reduce cardinality for portfolio selection
Jan
21
awarded  Yearling
Jan
21
awarded  Yearling