3
votes
Accepted
Option pricing Greeks in Python - incorrect Gamma with MC option pricing (Black) using AAD autograd / JAX libraries - but works with closed form?
I think the issues is because of the payoff function. You should replace the maximum() with HeavisideApprox(). Read this paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1626547
Here's the ...
3
votes
Accepted
Basket option value calculation
Essentially, by approximating the algebraic average in $B(T)$ with the geometric average as $\tilde B(T)$, the payoff function should remain invariant w.r.t to this transformation
$$ (B(T) - K)^+ = (\...
- 176
1
vote
Does QuantLib have a DayCount convention that supports India financial year calculations?
To my understanding, QuantLib does not have a notion of a fiscal year. It does implement an Indian calendar, which is the calendar used by the National Stock Exchange of India and which can be ...
- 1,010
1
vote
How to interpolate volatility's skew using spline in Python
Use linear interpolation/extrapolation:
You are overfitting your volatility surface if you use a Cubic spline, hence giving you negative values for large strikes. In order to avoid this, you can ...
- 4,108
1
vote
Accepted
Stock fades off all day
How much intraday data do you have / want to consume?
i.e. you could do something like take a snap every d$t$ and then demand that it's monotonic, or make some slightly looser variant of that rule or ...
- 2,481
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