network profile
| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 1 year, 1 month |
| seen | 2 days ago | |
| stats | profile views | 18 |
Forever in the process of learning.
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Sep 11 |
comment |
Indexes/stocks with flat implied volatilities Wow. Thanks a lot ! |
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Sep 11 |
awarded | Scholar |
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Sep 11 |
accepted | Indexes/stocks with flat implied volatilities |
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Aug 29 |
awarded | Editor |
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Aug 29 |
revised |
Indexes/stocks with flat implied volatilities added 6 characters in body |
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Aug 29 |
asked | Indexes/stocks with flat implied volatilities |
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Aug 27 |
answered | Basic question about Black Scholes derivation |
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Aug 21 |
awarded | Supporter |
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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. |
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Jul 26 |
awarded | Teacher |
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Jul 26 |
awarded | Student |
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Jul 26 |
answered | SKEW and VIX relations? |
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Jul 26 |
asked | What is an acceptable error on implied volatility? |
