# Questions tagged [implied]

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### 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 ...
226 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 ...
230 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?
58 views

Let's say i have bid / ask feed of an option prices (across strikes and expiries, calls and puts), what is the accurate way of implying out vols from these bid / asks For eg; to get the bid vol, ...
151 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, ...
289 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 ...
1k 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 ...
26 views

### Implied Market Equilibrium Returns vs. Realized Returns

Can somebody please explain to me the validity of using Market Implied Returns? I am implementing the Black-Litterman Model which begins with the Excess Market Equilibrium Returns calculated as: ...