4 votes

Why is my put intrinsic value greater than my actual put value in BSM? Python code

The answer to your question: A European put option can be priced below intrinsic value in a high interest rate environment (such as r=0.1) when stock price is low enough. That is due to time value of ...
user avatar
  • 9,587
3 votes

Where can I find a Python module for Stock volatility estimators using Yang Zhang method?

There's a github repository for this: "A complete set of volatility estimators based on Euan Sinclair's Volatility Trading." https://github.com/jasonstrimpel/volatility-trading
user avatar
1 vote

Volatility forecast for 5-minute frequency data

I did my MSc thesis on this topic and found nonparametric methods such as SVR and RF outperform classic econometric specifications (ARCH, GARCH, EGARCH ect.). Similar results are found in the ...
user avatar
1 vote

Python: detecting measured moves of candlestick data

I can only offer apriori solutions which are slightly overfit: to calculate the slope of N lookback periods and drop the ones that have a low and high std dev (how to determine low and high?) the ...
user avatar
1 vote

Python: detecting measured moves of candlestick data

You can use fractals to identify highs and lows. You can also measure movements as a percentage of the nearest extreme points. Here I showed how to find down fractals, and here I measured movements in ...
user avatar
  • 111
1 vote

From Implied volatility to shifted Black volatility

Since it would be too long for a comment and you made some effort at least in trying to replicate, I wrap this as an "answer" to your question, while leaving the last and actual part of ...
user avatar
  • 573

Only top scored, non community-wiki answers of a minimum length are eligible