Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with options
Search options not deleted
user 40873
A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
4
votes
How to normalise options? Normalise strike price, premium, tenors
This makes it difficult to compare option quotes accross strikes and tenors and certainly makes it impossible to compare the price of options accross different underlying stocks. … For these reasons, the options price are often quoted in terms of (Black-Scholes) implied volatilities. …
- 628
1
vote
0
answers
126
views
Procedure of model calibration
Say that your end goal is to price an equity exotic derivative under both Heston and the local volatility models (Black Scholes model with vola dependent on strike and underlying level). Do the follow …
- 628
8
votes
1
answer
3k
views
Implied interest rate using put-call parity
Here is an example to illustrate based on S&P500 options. Here I assumed a swap zero rate curve to use in the put-call parity formula. I interpolated this curve using cubic splines. …
- 628
2
votes
1
answer
289
views
Arbitrage-free IV surface definition vs. real arbitrage process
In the literature, it seems that conditions for arbitrage are defined in a way that assumes that options can be traded at the same price for buying and selling (i.e. no bid-ask spread). …
- 628
3
votes
0
answers
189
views
How to shock the IV surface w.r.t VIX and keep AOA
I have to compute the sensitivity of a set of option prices on a single sotck (range of tenor is over the whole surface) to an increase of 100% in the VIX.. and I am trying to get to the most reasonab …
- 628