Reputation
8,634
Next tag badge:
96/100 score
20/20 answers
Badges
10 35
Newest
 Nice Answer
Impact
~214k people reached

Oct
3
awarded  options
Oct
2
answered When to use Monte Carlo simulation over analytical methods for options pricing?
Sep
25
answered How can I estimate the parameters of an option value model of retirement?
Sep
20
comment VIX = Vega of S&P500 options?
Good point, Strange. It shouldn't be hard to check if there is any S&P prediction component there.
Sep
20
comment Modelling VIX Futures for risk management
I'm not quite sure why VIX spot is part of your system at all. It's not like it's going to be part of your portfolio, so for my money it makes sense to exclusively consider the dynamics of the futures, which likely don't change much even in the last few days beforfe expiration. It would at least be worth checking that notion, since you would get a useful simplification.
Sep
18
answered VIX = Vega of S&P500 options?
Sep
18
answered Modelling VIX Futures for risk management
Sep
18
answered What is the instantaneous P&L of a Variance Swap?
Aug
31
comment Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?
Which fourier methods are you trying? This sounds to me like a branch-cut problem, likely solved as in Jim Gatheral's book.
Aug
31
answered Is there any evidence that an option delta approximates ITM expiry probability?
Aug
6
comment Simulating the joint dynamics of a stock and an option
How about Brian Boonstra, Illinois Institute of Technology.
Aug
6
answered Why does the price of a derivative not depend on the derivative with which you hedge volatility risk?
Jul
11
answered Estimate price movement per unit of volume for daily data
Jul
10
answered Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
May
18
comment Measuring co-movement at non-constant intervals
Well, really correlation has nothing to do with the data points coming from time series realizations. You may do better looking through the literature for the (numerous) treatments of cointegration.
May
10
comment How to get greeks using Monte-Carlo for arbitrary option?
For the curious, the "dual number" approach referenced here is an automatic differentiation package, where the bookkeeping mostly handled by C++ templates and extensions to the standard numeric types. Derivatives of transcendental functions are handled by automatic differentiation of the numerical analytic series approximations used to calculate function values. (Please correct any mistakes I have made in that)
May
7
comment How to get greeks using Monte-Carlo for arbitrary option?
I'll also note that, as @Dirk and I read the question, Alexey does not necessarily have the source code to the option pricer.
May
7
comment How to get greeks using Monte-Carlo for arbitrary option?
You're right, I now see it is not finite differences. I would find the simplicity of your example far more convincing if you demonstrated calculating, say, delta of an average strike option under the the Black-Scholes stochastic model. It seems to me the transcendental functions involved make this difficult even for vanilla options. Path dependencies will make the problem much worse.
May
7
comment Can American options with no dividends and zero risk-free rate be treated as European?
Technically, call options can be optimal to exercise early if $r<0$. $r$ rarely if ever goes sufficiently negative on its own, though.
May
4
answered Why use swap-rates in a yield curve?