Timeline for Volatility Options
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 10, 2022 at 0:18 | history | became hot network question | |||
| Apr 9, 2022 at 17:16 | answer | added | user34971 | timeline score: 6 | |
| Apr 9, 2022 at 14:57 | comment | added | Summer_More_More_Tea | @FridoRolloos start with a strong assumption is good (practical), i.e. assuming a lognormal for realised volatility is appreciated. thank you a lot. | |
| Apr 9, 2022 at 13:57 | comment | added | user34971 | See also quant.stackexchange.com/questions/29830/… for the differences between VIX and other vol instruments, if you don't already know it. | |
| Apr 9, 2022 at 13:48 | comment | added | user34971 | The easiest would be to assume a lognormal assumption for realised volatility. If you're OK with that then I can give you a full answer. At least you'd have an indication of the price of options on realised volatility without too much hard work. If you need an exact value then you'd need to assume a particular model for realised volatility, and hence the 'exact' value is still inexact due to model risk. Just to be clear also: options on (future) realised volatility are not the same as options on VIX. | |
| Apr 9, 2022 at 13:32 | comment | added | Summer_More_More_Tea | @FridoRolloos exactly. My situation needs to price an option on the realized volatility. | |
| Apr 9, 2022 at 13:30 | comment | added | user34971 | You'd like to price options on realised volatility, not on instantaneous volatility, yes? | |
| Apr 9, 2022 at 13:25 | history | asked | Summer_More_More_Tea | CC BY-SA 4.0 |