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 Yearling
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  • 3 votes cast
Apr
23
awarded  Yearling
Feb
24
comment Time-independent local volatility
I wrote down the equation and it necessarily depends on time so my first intuition was wrong. I edited my answer.
Feb
24
revised Time-independent local volatility
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Feb
24
revised Time-independent local volatility
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Feb
22
comment Show that Z(t)/Z(0) is a positive mean-1 martingale
You're welcome ;)
Feb
22
answered Show that Z(t)/Z(0) is a positive mean-1 martingale
Feb
22
revised Time-independent local volatility
added 12 characters in body
Feb
22
answered Time-independent local volatility
Feb
22
answered How should I calculate the implied volatility of an American option in a real-time production environment?
Feb
22
answered In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space?
Feb
22
answered Commonly used vol surface calibration model in the industry
Feb
22
comment Variance swap replication and variance vega
You may be confused by the fact that the vega as you used it only applies in the BS model whereas your portfolio valuation is not based on a model but on market values. When considering a non parametrical skewed implied volatility the notion of vega is not trivial (no parameter to derive w.r.t.). The naive way to do it is to consider a parallel shift of the implied volatility slice at the maturity of the variance swap. This is however not arbitrage free and not very meaningful so we use instead good parametrical functions and derive the shift by bumping one or more parameter of the curve.
Sep
24
awarded  Autobiographer
Sep
11
comment Indexes/stocks with flat implied volatilities
Wow. Thanks a lot !
Sep
11
awarded  Scholar
Sep
11
accepted Indexes/stocks with flat implied volatilities
Aug
29
awarded  Editor
Aug
29
revised Indexes/stocks with flat implied volatilities
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Aug
29
asked Indexes/stocks with flat implied volatilities
Aug
27
answered Basic question about Black Scholes derivation