vanna
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 Apr23 awarded Yearling Feb24 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. Feb24 revised Time-independent local volatility added 155 characters in body Feb24 revised Time-independent local volatility added 203 characters in body Feb22 comment Show that Z(t)/Z(0) is a positive mean-1 martingale You're welcome ;) Feb22 answered Show that Z(t)/Z(0) is a positive mean-1 martingale Feb22 revised Time-independent local volatility added 12 characters in body Feb22 answered Time-independent local volatility Feb22 answered How should I calculate the implied volatility of an American option in a real-time production environment? Feb22 answered In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space? Feb22 answered Commonly used vol surface calibration model in the industry Feb22 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. Sep24 awarded Autobiographer Sep11 comment Indexes/stocks with flat implied volatilities Wow. Thanks a lot ! Sep11 awarded Scholar Sep11 accepted Indexes/stocks with flat implied volatilities Aug29 awarded Editor Aug29 revised Indexes/stocks with flat implied volatilities added 6 characters in body Aug29 asked Indexes/stocks with flat implied volatilities Aug27 answered Basic question about Black Scholes derivation