Questions tagged [implied]
The implied tag has no usage guidance.
8
questions with no upvoted or accepted answers
4
votes
0answers
159 views
Model-Free Option Pricing
From Breeden and Litzenberger (1978) and subsequent work, we may find the risk-neutral density $q_{S_T}$ of $S_T$ from European option prices - assuming there are enough traded options (e.g. SPX) via
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4
votes
0answers
527 views
Why is Bachelier implied volatility more skewed than the Black-Scholes implied volatility?
I found the following explanation in a paper by Grunspan (see attached paper page 6) but have trouble understanding it:
By differentiating Formula (3) with respect to m, it turns out
that the ...
3
votes
0answers
207 views
Implied correlation
Have I understood it correctly if the standard way to calculate implied correlation is the Gaussian Copula model where we:
Calibrate the underlying portfolio to get a homogenous default probability ...
2
votes
0answers
202 views
Extrapolating implied dividend yield
I have liquid option quotes for 1, 2, 3 and 4y expiries. I was able to imply the continuous dividend yield for all of those. How would you extrapolate such implied yield to 5 and 6y expiries?
1
vote
0answers
138 views
Can prediction of realized volatility for next day improve delta hedging (gamma scalping)?
Im quite confused. As I understand from standard delta PNL of option + underlying position, pnl is equals to difference between realized and implied vol weighted by gamma.
However, as I understood, ...
1
vote
0answers
252 views
Forward implied vol vs Instantaneous vol
In the Discrete Stochastic Implied Volatility Model which is from the standard Heston Model, the model shows the evolution of forward implied volatilities with time.
I thought forward implied ...
1
vote
0answers
911 views
ATM-implied volatility
I am trying to understand the methodology that researchers used to compute ATM-implied volatility with real data.
The problem is giving the discrete sets strike prices of one particular option with ...
0
votes
1answer
83 views
Extrapolate Implied Volatility Surface
I have a moneynessratio-tenor volatility surface and want to extrapolate the implied volatility for moneynessratios > 150%.
The volatility surface was downloaded for different points in time, so I ...
