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16h
comment How to exploit calendar arbitrage?
Buy the T2 call and sell the T1 call.
1d
comment What is an efficient method to find implied volatility?
Is the bisection method really that slow? If you bracket between volatility 0 and 1, as few as 20 steps will get you within 10^-6 of the true volatility.
1d
comment How to calculate returns of backtested strategy?
You definitely need to include invested money as part of the computation. This is easy for long positions. For short positions, determine the margin requirement that a broker would've required to allow you to take that short position.
1d
comment What is an efficient method to find implied volatility?
A few more details, please: what original data do you have and what function are you trying to set to 0?
2d
comment How trading in currency pair works, underlying techniques and mechanisms
Your "mechanism B" is the correct understanding. When you buy USD/RUB, you are buying US dollars and paying in rubles. You are given two days to come up with the rubles and get your dollars, but you can keep pushing this debt day-to-day, which may cost you money or even make you money, depending on interest rates. Once you sell the USD, you get back rubles, pay back the loan, and convert the extra rubles to SEK. Remember that FOREX is highly leveraged. With 100 SEK, you can buy 5000-10000 USD (depending on your broker/country's laws), so your profit (or loss!) can be much higher.
Oct
26
comment How literature come up with risk-neutrality problem, considering that market is not really risk-neutral?
Could you explain what you mean by risk-neutrality here? What literature says the market is risk neutral?
Oct
26
comment Is there a broad currency index just like there is an equity market index?
Like etfdb.com/indexes/currency etfdb.com/index/bloomberg-dollar-total-return-index ?
Oct
21
comment how to use known premium of options to determine premium of options with another strike?
@MattWolf I should have said "bilinear" or something. In other words, it looks like a line to the left of the strike price and a different line to the right of the strike price (forming sort of a V shape, but the two sides of the V have different slopes). If you still disagree, let me know, and I'll explain my position further.
Oct
20
comment how to use known premium of options to determine premium of options with another strike?
The volatility smile, in my experience, is nearly linear near the underlying's current value (but with different slopes on the two sides). With a sufficient number of data points, you could build a reasonably accurate model.
Oct
19
comment Moneyness and option prices
If you do that, you'll have to adjust strike prices as well. What are you trying to find in/from the data?
Oct
18
comment Historical Data on $/yen forward exchange rates
Would that be the same thing as a currency future?
Oct
17
comment Can we trade option spreads with more than 4 option legs?
cboe.com/cob/cob.aspx may or may not be helpful.
Oct
8
comment option pricing with limitation on the change of underlying daily changes
Note that +-X% isn't actually symmetric. For example, if a stock went up 5% and then went down 5%, it would be at 99.75% of its original value (1.05*0.95=0.9975). Perhaps limit the log of the price to +-X from the original price? Otherwise, you'll need an asymmetric distribution.
Oct
8
comment How to measure if variance is greater at a certain time of day?
Couldn't you just look at hourly highs and lows (for example?)
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