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BS.
  • Member for 6 years, 4 months
  • Last seen more than a week ago
10 votes
2 answers
2k views

Implying risk-free rates using Put/Call parity

8 votes
2 answers
777 views

Why do institutions backtest?

7 votes
4 answers
363 views

Shorting an option every day vs shorting only at maturity

3 votes
1 answer
74 views

Fees on derivatives

3 votes
1 answer
1k views

Why buy/sell a forward starting option?

3 votes
1 answer
184 views

Numerically stable method for estimating $\partial_t \mathbb{E}[f(X_t)]$ where $X_t$ is an n-dim Ito process and $f:\mathbb{R}^n\rightarrow\mathbb{R}$

2 votes
2 answers
160 views

Why would one prefer variance swaps over other instruments?

2 votes
1 answer
76 views

Literature on quoting vol surfaces in the absence of listed option prices [duplicate]

2 votes
2 answers
1k views

Why is the fair strike of a variance swap called implied volatility?

2 votes
1 answer
831 views

SPX options data from the CBOE data shop

2 votes
3 answers
253 views

What does it mean for an option strategy to be leveraged

0 votes
1 answer
173 views

Stochastic volatility and forward start contracts

0 votes
1 answer
788 views

Interpolating on the BS parameters and injecting in the BS formula vs interpolating directly on option prices

0 votes
1 answer
89 views

How do option traders choose the strikes and maturities?