Timeline for How does the interest rate affect the implied volatility of options, especially ITM?
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Jan 24 at 8:18 | comment | added | Kermittfrog | Yes, it is. By using data across multiple strikes, we can reduce the estimation error and back out the discount factor and underlying (index) level at the same time with good good accuracy. | |
| Jan 24 at 3:59 | comment | added | THATS MY QUANT MY QUANTITATIVE | I skimmed the paper, but that's affectively what I said but over multiple strikes and then performing regression, no? | |
| Jan 23 at 20:19 | comment | added | Kermittfrog | To my knowledge, Shimko had the first (nice) article on backing out levels of the index and risk-free-rates given a set of observed option prices. Using this method, one finds quite stable levels of $q$ and $r$ through simple linear regression. researchgate.net/publication/306151578_Bounds_of_probability | |
| Jan 23 at 0:29 | history | edited | THATS MY QUANT MY QUANTITATIVE | CC BY-SA 4.0 |
added 241 characters in body
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| Jan 23 at 0:24 | history | answered | THATS MY QUANT MY QUANTITATIVE | CC BY-SA 4.0 |