x****x
发帖数: 87 | 1 FX＝USD/JPY
strike price K＝75
C=Max（FX-K, 0)
Maturity＝0.25，0.5，0.75，1；。。。。。。6Y
how to check implied vol respectively？
many thanks |
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p******i
发帖数: 1358 | 2 get the price, back out the vol |
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i****m
发帖数: 15 | 4 Many trading firms have their internal implied vol surface.
From Bloomberg, for FX options, use OVDV, for equities and others, use SKEW. |
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I****k
发帖数: 35 | 5 我个人觉得是call大，因为call有unlimited upside，所以vol更大一些。
有高手出来指点一下么？ |
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i****e
发帖数: 78 | 7 I guess you probably mean ATM call vs put,
otherwise, if they are same strike (say out of money put),
the vol of the out of the money put has to go to moon
to match the price of in the money call. |
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f*******g
发帖数: 377 | 8 theoretically the implied vol for call and put (with same strike and same
maturity) should be the same, thanks to put-call parity. there could be
small difference in reality. |
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i*****r
发帖数: 1302 | 9 你这种回答已经过时了太没水平了
不是所有的vol arb都在赚钱,再说HF用的东西不一定适合个人投资,把position告诉你
你也不一定会赚钱,打回去看清楚我的问题再来,otherwise shut up |
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j******0
发帖数: 162 | 10 什么叫做vol arbitrage,你能先讲讲你的理解不 |
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b********x
发帖数: 6 | 11 一Goldman大牛昨天和我说他在的vol arbitrage group doing exceptionally well
now |
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n********e
发帖数: 272 | 12 BS price is used only for the purpose of using the "wrong" formula with "
wrong" vol to get the "correct" price.
It has nothing to do with underlying diffusion process. |
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x****x
发帖数: 87 | 13 晕到..............................
就是先确定了价格,然后用BS公式倒推出来?
我还认为是用BS模型来算价格的呢.
其实和BS模型没关系? 因为underlying 的stochastic process和K是无关的啊......
..
BS price is used only for the purpose of using the "wrong" formula with "
wrong" vol to get the "correct" price.
It has nothing to do with underlying diffusion process. |
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l**********t
发帖数: 5754 | 14 can anyone point me to references on joint modelling stochastic vol &
interest rate in valuing long term options. thanks. |
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h*y
发帖数: 1289 | 15 it makes sense to use stochastic ir model for long term option but vol
surface tends to be flat for long term. not sure if it can add too much
value.
anyway you may google hybrid model. I have an equity hybrid book on my
office desk, will check for u tmr |
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l***u
发帖数: 91 | 16 what exactly are you trying to capture with stoch vol? |
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p******e
发帖数: 756 | 18 能解释下OTM的情形么, vol=0, delta还是最大,1阿.或者你说的是local的趋势 |
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g******e
发帖数: 352 | 19 vol =0
delta = 1 if ITM
delta = 0 if OTM
所以增加还是减少应该跟strike有关 |
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z***e
发帖数: 5600 | 20 Say out of money call, strike 1 stdev away from spot,
now vol has suddenly doubled, same option is now only 1/2 away from spot
more likely to "hit", and delta increases |
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j********t
发帖数: 97 | 21 Given implied vol for all strikes, how do you determine if there are
arbitrage opportunities? |
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l*********t
发帖数: 89 | 22 I believe the Graph of Vol w.r.t Strikes should be convex, otherwise there
should be an arb opportunity. |
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a********e
发帖数: 508 | 23 It's a reasonable guess. But I'm afriad you can't find arb that easy by just
looking at the implied vol curve
Why not calculate the option price directly to see if the function of
option price is convex w.r.t strike |
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j********t
发帖数: 97 | 24 Agree with you.
Implied smile/ implied skew is empirical result. It doesn't seem to be very
rigorous and simle/skew/frown may
behave differently to different derivatives.
It sound good to calculate BS price from implied vol and verify convexity.
Thanks.
just |
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l*********t
发帖数: 89 | 25 The idea is right. But if this is an interview question, we are given a
number of Vol, it doesn't seem quite realistic to calculate option values in
mind.. and the quick approximation formula of option value may suffer to
some error.
just |
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a********e
发帖数: 508 | 26 can you show the implied vol is convex in strike theoretically?
I don't think it has to be
in |
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l*********t
发帖数: 89 | 27 I cant. my idea is only based on empirical shape of vol. |
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n****e
发帖数: 629 | 28 把local vol surface construct出来
如果construct不出来就说明有arb... |
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m********0
发帖数: 2717 | 29 statistical-vol arb easy, quite some common combos
convertible-like put/call parity. |
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a**m
发帖数: 102 | 30 For given forward and strike, are the vols for call and put options
identical in the Black-Scholes formula? What if forward is equal to strike,
i.e., ATM? |
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z*g
发帖数: 110 | 31 these call/put options have in-symmetric pay-off. When in the money, option
pays, when out of money, option pay 0.
So when vol increase, underlying price move more, more chance to in the
money, pay off linearly increase, also more chance to out of money, but out
of money is 0 payoff anyway. So, overall, the option price increase.
this applies to both call or puts. |
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x******a
发帖数: 6336 | 32 for Europe options，为什么vol增多会导致exercise的可能性增大？ |
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A*****s
发帖数: 13748 | 33 vol大说明更容易远离drift的轨迹，也就更容易落入exercise band |
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x******a
发帖数: 6336 | 34 thank you zdg. I get a part of the answer.
but I don't understand when the vol increase, the chances to be both out of
money and in the money increase since I think they sum to 1 assuming GBM of
the underlying. What do you think?
option
out |
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N******r
发帖数: 642 | 35 or a vol prediction model, like GARCH. just a thought. |
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s******e
发帖数: 1751 | 36 you guys trade vol, and don't pay for a feed to get live quote? i'd love to
be your counterparty. :) |
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l*****i
发帖数: 3929 | 37 没有price总有bid ask spread吧
the
vol.
good |
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h*y
发帖数: 1289 | 38 Use a vol model, such as SABR or Heston, then interpolate or extrapolate the
model parameters. |
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D********e
发帖数: 8 | 39 is there way to find the time stamp of the stale option price? if you can,
then i propose to calculate the IV based on that time stamp. Then you use
the IV as the estimate of the vol for current time. |
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r****t
发帖数: 10904 | 40 没有 bid-ask 数据么
the
vol. |
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l*******3
发帖数: 186 | 41 if you can calibrate a model to generate option prices ( better vol smirk
and term structure), how do you use it in applications? This model gives a
better specified volatility process model.
I know the answer could be to be used for arbitrage and hedging. Can anyone
tell me more details about how to use it in practice? Thanks! |
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s*******n
发帖数: 66 | 42 算一个月的option,用historical data来估计vol,用monthly return, weekly return,
daily return哪个好？为什么？谢谢！ |
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d*******t
发帖数: 273 | 43 pls use mkt implied vol. |
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L*******t
发帖数: 2385 | 44 我需要在一个函数中计算20000个implied Vol。使用Matlab，matlab给的函数太慢了。
我想自己些一个，请教各位大牛，有没有比较快速的算法？
谢谢啦！ |
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c******u
发帖数: 3 | 45 【畅游网：致命的色彩】2000.3.25 Vol.34 |
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b*******g
发帖数: 513 | 46 跪求design and analysis of experiment vol 1 by klaus hinkelmann,有包子作偿。在网上找了很久这本书的电子版，但一直没找到，感觉以前是有的，后来给删了，谁有的话发本人一份吧，愿30伪币奉上.多谢，周末愉快！ |
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b*******g
发帖数: 513 | 47 多谢，伪币已发出。你搜索能力好强呀。顺带问一句，能找到vol 3吗？谢谢！ |
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w*******y
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