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bio website optionmetrics.com
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visits member for 2 years, 3 months
seen Dec 12 at 16:36

Aug
21
comment VSTOXX Implied Volatility Calculation
Matt, I implemented both models and there are interesting and useful results. If you ever think about trading VSTOXX, there is already implemented and calibrated model.
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accepted VSTOXX Implied Volatility Calculation
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awarded  Commentator
Aug
14
comment VSTOXX Implied Volatility Calculation
I'll see the results, of course, but it's a great start. I also wonder what is the industry consensus in this respect. Hopefully, we will see more activity/voting in this thread.
Aug
14
comment VSTOXX Implied Volatility Calculation
Yep, that's where I started, I'll try GL96 and then Whaley. Thanks a lot!
Aug
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Aug
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comment VSTOXX Implied Volatility Calculation
Matt, I understand how VSTOXX is calculated, the calls and puts involved are the EuroStoxx 50 options. What I need is to calculate the implied volatility for options on VSTOXX: eurexchange.com/exchange-en/products/vol/vol/14550
Aug
14
comment VSTOXX Implied Volatility Calculation
Matt, is this the GL96?
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asked VSTOXX Implied Volatility Calculation
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