Timeline for Black Scholes - how to calculate delta with a vol skew
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
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| Nov 25, 2015 at 4:37 | comment | added | Zeus | I agree. Best method I've come up with is to model the skew and calculate Greeks for a range of spot prices. Then tweak ATM vol and degree of skewness (rotate skew around spot) to see how T0 PnL will change under different vol conditions. Then calibrate the model daily. | |
| Nov 23, 2015 at 23:43 | review | Late answers | |||
| Nov 24, 2015 at 10:18 | |||||
| Nov 23, 2015 at 23:26 | history | answered | dm63 | CC BY-SA 3.0 |