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| bio | website | |
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| age | ||
| visits | member for | 9 months |
| seen | May 11 at 3:37 | |
| stats | profile views | 80 |
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Mar 21 |
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Call options portfolio: what would the underlyings' moments to be maximized? Any non-tail measure of risk would probably work on a portfolio of options since you are still losing money due to theta. |
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Mar 15 |
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Theta's effect for OTM options The graph would be more instructive if you normalize it by some unit of convexity risk (either gamma or vega). Then you'd actually see what is your theta for similar risk position and be able to judge if it's "high" or "low". |
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Feb 16 |
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How to improve the Black-Scholes framework? Yeah, but do you think he was actually owned an awesome alternative to BSM or simply had a good model for relative dynamics of the implied vols? There seem to be plenty of high science alternatives to BS out there, you just can't really apply them to real world. |
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Jan 19 |
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Delta of a Down and Out Call At the limit, obviously, the risk on the structure is a risk of a knock-out forward, which is still much easier to manage then a risk of a down and in put, for example - the dynamics are much tamer. |
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Jan 19 |
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Delta of a Down and Out Call "Market convention"? What market are we talking about? FX? Maybe. In equity derivatives, down and out calls are mainly traded as part of structured notes and frequently actually have strikes below the barrier. As I said, these are very tame an easy to manage. The discontinuity is fairly small - you would have to compare it to the discontinuity for continuous in-the-money barriers to see what "huge" discontinuity really is. |
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Jan 19 |
answered | Delta of a Down and Out Call |
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Jan 9 |
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What data transformations to use in regression of credit spreads on equity prices? Not even thinking thus far, just simply pointing that equity options are more like the CDS rather then equity itself. If you look at the regression of VIX vs something like 5y CMT IG, it's a pretty reasonable regression, since both series are more or less stationary and are indicators of risk. |
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Jan 9 |
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What data transformations to use in regression of credit spreads on equity prices? My first intuition is that more likely that it's either equity implied volatility and credit spreads that should be regressed, no? |
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Jan 8 |
answered | Why is short term implied volatility typically higher? |
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Nov 26 |
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Implied Volatility for Asian option There are some semi-closed form solutions to Asian options. The stupid things trade so tight that it's almost impossible to make out if you are off because of the vol surface differences, business time calculation or modelling differences. I have been to a place where Asians where calculated on local vol model as well as to a place where we used some sort of moment matching model - guess what, both places we some times where off market, except in case of local vol model my junior had to stay till 9 pm to get the P&L and risk for the book. |
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Nov 26 |
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Changes to option valuation for dollar-pegged underlying If I recall correctly, the key problem is that while the index is priced effectively in dollars, the margin is in RUB? In that case, you can think of this as an ADR option with premium/payout in domestic currency and the asset itself in the foreign currency. The fact that the exchange does not pay interest on the margin in an environment where rates are pretty high adds another interesting aspect to the option pricing. |
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Nov 26 |
answered | Skew arbitrage: How can you realize the skewness of the underlying? |
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Nov 24 |
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When does delta hedging result in more risk? In theory, of course, a market maker is supposed to run a nice, balanced book and "earn money from the bid/offer spread" (good luck there, most trades print at mid). In real life you often get stuck in a lopsided position against your will. E.g. a large insurance company comes to roll a hedge or you "provided liquidity to an important client". "Stripping" decaying wing options is a pretty standard thing to do. As an alternative, you can manage it at a different implied volatility and many other tricks. No offence, but it does not sound like you have ever managed a large sell-side options book. |
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Nov 24 |
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Setting the r in put-call parity? Too add to complexity, it would also depend on what you are posting or taking in as collateral. The whole "rates and govies is now a risky business" thing is forcing all longer-dated OTC trades to move to forward premium. |
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Nov 23 |
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When does delta hedging result in more risk? Sell a short dated option, in this case more or less matching the amount of theta and delta hedge it. |
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Nov 22 |
answered | When does delta hedging result in more risk? |
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Nov 17 |
answered | Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky |
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Oct 31 |
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Implied Volatility for Asian option Yes, you would use the volatility for the same strike and same tenor. For the second one, I thin this is what your are looking for: www.dm.unibo.it/~pascucci/web/Ricerca/PDF/39_FPP.pdf |
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Oct 31 |
answered | Implied Volatility for Asian option |
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Oct 30 |
awarded | Enthusiast |
