Questions tagged [implied]
The implied tag has no usage guidance.
10
questions with no upvoted or accepted answers
4
votes
0answers
216 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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3
votes
0answers
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 ...
2
votes
0answers
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?
1
vote
1answer
58 views
using bid ask prices to imply bid ask volatilities
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, ...
1
vote
0answers
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, ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
0
votes
0answers
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:
...
0
votes
1answer
155 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 ...
0
votes
1answer
68 views
FX implied yield
Emerging market currencies like IDR, INR, its fx implied yield generally rise in a stressed environment. While for KRW, fx implied yield usually drops in a stress environment. I would assume KRW ...
