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visits member for 2 years, 2 months
seen Jul 11 at 20:29

Forever in the process of learning.


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
added 6 characters in body
Aug
29
asked Indexes/stocks with flat implied volatilities
Aug
27
answered Basic question about Black Scholes derivation
Aug
21
awarded  Supporter
Jul
27
comment What is an acceptable error on implied volatility?
I am pricing variance swaps using SV models. The model has to reprice vanillas though, so I am looking at a metric to tell if the model is close enough to the market. The error between my SV implied volatility surface and the market one in basis points seems like a good start to me.
Jul
26
awarded  Teacher
Jul
26
awarded  Student
Jul
26
answered SKEW and VIX relations?
Jul
26
asked What is an acceptable error on implied volatility?