Timeline for Volatility surface for futures options
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 14 at 17:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| May 17 at 16:05 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Apr 17 at 15:17 | comment | added | river_rat | Added the workings for the deterministic case | |
| Apr 17 at 15:16 | answer | added | river_rat | timeline score: 0 | |
| Apr 17 at 13:53 | comment | added | not_sure95 | @river_rat, can you elaborate? We can focus on the deterministic case for now although for curiosity the stochastic case might be interesting as well. Is there some literature on the topic? | |
| Apr 17 at 12:26 | comment | added | river_rat | Depends on how you want to model the spot / futures basis. If it's deterministic then it's a simple strike shift pricing problem. If you are treating that as stochastic then it's a mess. | |
| Apr 17 at 10:28 | history | edited | not_sure95 | CC BY-SA 4.0 |
added 96 characters in body
|
| Apr 17 at 10:14 | history | asked | not_sure95 | CC BY-SA 4.0 |