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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.
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Do bias adjustments make sense in the context of measuring realized volatility to compare to...
I've been considering constructing a volatility cone to compare implied volatility to realized close-to-close volatility. However, I was wondering how the typical bias adjustments you might make to an …
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2
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Why are Black-Scholes derived greeks used for risk management when alternatives exist?
To my understanding, it is still quite common for market makers of vanilla options to use Black-Scholes greeks. …
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Does it make sense to use Black Scholes greeks to attribute P/L given the Black Scholes assu...
However, these same people use Black Scholes calculated greeks for understanding the risk of a portfolio of options and for P/L attribution. …