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Results tagged with option-pricing
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user 13397
Questions about models for the valuation of option contracts.
3
votes
1
answer
635
views
Hedging - calculating option prices using implied volatility surface
To hedge a strategy is it accurate "enough" to price an option using an implied vol curve vs moneyness (strike/spot) assuming sticky delta? The moneyness can be read off the chart, its corresponding I …
- 219
4
votes
1
answer
3k
views
Numerical example of how to calculate local vol surface from IV surface
I'm looking for an excel example (not a copy of Dupire's eqn) of how to convert an IV surface to a local vol surface. If unsuccessful I'll work through Dupire's eqn but would be helpful to look at an …
- 219
3
votes
1
answer
4k
views
Black Scholes - how to calculate delta with a vol skew
I am trying to calculate the delta of an option at different strike prices where the underlying has a pronounced implied volatility skew in order to correctly hedge an options strategy.
Researching …
- 219