Joel Spolsky
  • Member for 10 years, 11 months
  • Last seen more than 3 years ago
Why does implied volatility show an inverse relation with strike price when examining option chains?
Accepted answer
13 votes

The skew is almost always bid for puts on the stock market. When stocks go down, people tend to panic and volatility goes up as a result. Since the puts get more vega when the market goes down, they ...

View answer
Is Visual Basic a fast enough for millisecond orders
11 votes

The only way to find out is to try it! It shouldn't take very long to write some simple code to simulate the computations you plan to do, and run it in a loop. With current versions of Visual Basic (...

View answer
Local Volatility vs. Stochastic Volatility
9 votes

For pricing and hedging a portfolio of vanilla options, stochastic volatility is almost always preferable to local volatility since empirically it more accurately captures the evolution of the smile.

View answer