l**********t
发帖数: 5754 | 1 "From a theoretical perspective, hist vol and implied vol are in different
prob space" -- From a theoretical perspective, isn't vol kept invariant
during change of measure? |
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p*******g
发帖数: 25 | 2 The stock price is fundamentally determined by industry, company management,
company profits, company's growth, investor's expectation and so on. The
option on stock is derived from stock price and other factors and implied
volatility is even derived from the derived elements. So, if you have a
granson, can your grandson determine your future? This is my understanding.
expiration |
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f****e
发帖数: 590 | 3 search B-S implied volatility用什么算法比较好？
在matlab里面用什么函数比较合适呢？
我用fzero，但在搜寻过程中经常会search 到负数那边，虽然结果没问题
但是觉得效率不高
各位有什么更好的办法？
谢谢！ |
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s******a
发帖数: 388 | 4 我要用SAS 计算IMPLIED VOLATILITY， 哪位如果在这方面比较擅长， 跪求指点！ |
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s***r
发帖数: 1121 | 5 WRDS has implied volatility data available. |
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s***r
发帖数: 1121 | 6 WRDS has implied volatility data available. |
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n******s
发帖数: 19 | 7 大家好，
请问如何求 Implied distribution，instead of assuming lognormal distribution
in BS formulas.
什么公式或者方法呢？
谢谢 |
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n******s
发帖数: 19 | 8 大家好，
请问如何求 Implied distribution，instead of assuming lognormal distribution
in BS formulas.
什么公式或者方法呢？
谢谢 |
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w****i
发帖数: 143 | 9 Could anyone tell me why implied volality has a smile effect? I cannot
understand the interview book explanation |
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z****i
发帖数: 406 | 10 转自wilmott
mghiggins
Senior Member
Posts: 313
Joined: Nov 2001
Sat Jan 04, 03 01:54 PM
User is offline
Qualitative explanation for why there is a vol smile in stochastic
volatility models from a market-making perspective:
First, let's step back and look at the standard Black-Scholes world. Why do
options have value over intrinsic value? Because they have positive Gamma.
As a market-making trader, you buy an option and Delta-hedge it - now, the
value of your portfolio as a function of the ... 阅读全帖 |
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s*****g
发帖数: 77 | 11 请问版上的大牛们，这两个哪个更好一点？为什么？
我觉得implied vol假设是constant，所以用起来更简单直观。但是stochastic vol的
话更接近事实，因为vol不可能是常数啊。所以这两个哪个更好，各自有什么用处啊？ |
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C*F
发帖数: 2513 | 12 implied vol不是model，你说的是local vol吧 |
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s*****g
发帖数: 77 | 13 哦，我明白了，
implied vol只是一个数，但是stochastic vol 是一个model,可以说是得到了
volitiliy的分布，可以这么说吗？另外问如果是local vol和stochastic vol呢？ |
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j********t
发帖数: 97 | 14 Given implied vol for all strikes, how do you determine if there are
arbitrage opportunities? |
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a********e
发帖数: 508 | 15 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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a********e
发帖数: 508 | 16 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***u
发帖数: 91 | 17 from dupire formula，you should work out the conditions where the implied
density is not negative. i don't think it's explicit though |
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p********0
发帖数: 186 | 18 Hi, All:
I am calculating the Implied Volality for Equity Index SPX based on strike/
time to maturity, current price, etc.
I calcualted one for Call Option and one for Put option.
Assume everything is the same, risk free/strike/current/time to maturity,
the IV_call does not match the IV_put, am I missing something? It should
match thoeratically right? |
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g******e
发帖数: 352 | 19 two factors can cause the mismatch
1. american style - put call parity only holds for european options,
for american option the put call parity doesn't hold perfectly, this
will cause somemismatch between call vol and put vol
2. dividend,interest rate - if the dividend, interest rate you used to back
out vol don't equal to the market implied dividend and interest rate, it
will also make you call vol deviate from your put vol.
So small mismatch from 1 is normal ,
but if your mismatch is large, th... 阅读全帖 |
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A*****s
发帖数: 13748 | 20 就是real-world measure下的drift？
感觉从historical里提取不是很robust啊。。。有什么traded asset能imply这个么？
谢谢！ |
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l********a
发帖数: 126 | 21 say we know prices for all the listed american options expired at some date, can we
imply the forward price of this underlyer on that date? |
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z****u
发帖数: 185 | 22 1) you have a pricer for american options, i.e., given spot, strike,
maturity, VOLATILITY, and so on, this black box can calculate the price of
an American option.
2) given option price, you use this pricer and a root finding method to
calculate the implied vol. |
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q*x
发帖数: 62 | 23 implied vol is flat vol when resolving the root |
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h**********g
发帖数: 123 | 24 I think you should take some kind of blending approach. To calculate IV, you
need pair the underlying and the option quotes, especially at the same time
stamp.
If there are enough option transactions around close of day, then use those
and the close price to calculate the implied vol.
If there is no option transactions, you may use the mid of bid and ask
around the close of day as a reference. However, sometimes, those bid-ask
spread could be quite high too and typically those are not part of re... 阅读全帖 |
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P****d
发帖数: 369 | 25 implied vol 就是市场根据历史对未来做出的市场预测 |
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q**j
发帖数: 10612 | 26 garch算出来的比较好吧。用Implied vol 不害怕Model错了？ |
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c*******e
发帖数: 150 | 27 using implied vols from the options-market as the prior distribution, and
using the physical vol from the filtration as the sample. This method is
effective if you have alpha views trading the underliers and only
need the second-moment for your risk-model. Not effective if you are an
options-trader not having views on the underliers (typically delta-neutral)
but want to earn the "dollar theta minuts dollar gamma" basis-trading
everyday, (in other words, an accurate forecast of spot vol is essent... 阅读全帖 |
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l********a
发帖数: 126 | 28 另外，vol trading（trade option或者variance swap）里用的vol forecast本质上也
是Bayesian inference吧？
因为除了market-implied和historical data似乎没有其他的information source来预
测vol。而这两个information source，据我所知没有什么单一的model能把它们统一到
一起。所以唯一的把两个统一到一起到的方法就是Bayesian inference了（或者更
sophisticated的Machine learning方法）。
我不做vol trading，不知道以上猜测对不对。
) |
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w***e
发帖数: 6 | 29 There is no such thing called forward looking vol. VIX was originally
thought of this kind but later people realized it is more proper to be
referred as a fear index.
One should be careful when he/she uses the implied vol as the indicator. |
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x****e
发帖数: 1780 | 30 有人问我怎么arbitrage option implied volatility skew。
我不懂这个问题。
有人能在这个问题上面指导一下吗？
谢谢！ |
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q*****l
发帖数: 124 | 31 比如说我想比较market option price的volatility surface 跟用Heston
Model fit出来的volatility surface。。难道不是先calibrate求出参数，带入求价格
，再求BS implied volatility么？ |
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q*****l
发帖数: 124 | 32 实验目的只是想验证SV model是不是对empirical implied volatility surface的一个
good fit。。比如Gatheral's book的fig 3.8. |
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s******e
发帖数: 1751 | 33 these are good questions for a junior quant.
why don't do your experiment for 1 day of spx data?
btw, these things have been done in bank exotic desks about 10 yrs ago.
heston
implied |
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q*****l
发帖数: 124 | 34 请问喜欢BS有什么特别的原因么？比如option price可以用SV model的closed form直
接求，或者用standard BS带入SV implied vol求，为啥更倾向于后者？ |
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L*******t
发帖数: 2385 | 35 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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g****o
发帖数: 13 | 36 他是要得到risk neutral density
我猜跟model underlying asset dynamics没太大关系（没有jump的话）
market quote implied vol只用standard black-scholes
Characteristic |
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z***e
发帖数: 5600 | 37 用Implied vol算VaR，稳定性是大问题。同样的仓位，市场高点时VAR低，低点时VAR
最高
用这样的模型，很可能造成市场高时不注意风险，市场回调时在底部panic sell，买高
卖低的典型
out
The
money |
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s******e
发帖数: 1751 | 38 it is exactly the opposite of what you said. July 2008 implied is
definitely higher than realized.
VAR |
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h******5
发帖数: 58 | 39
一般情况下implied vol是大于realized的vol。很简单的解释是，如果这个市场中如果
都是speculator，那么impvol应该等于realized vol。但是option出现的很大一个意义
是hedging。hedging是有代价的，那么就得出更多的钱去抵消风险。这也是volatility
smile存在的理由。 |
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m*****n
发帖数: 2152 | 40 在公司earning report的时候，市场观察implied volatility for options在报告之前
上升，报告之后下降，假如报告exactly和市场预期一致，股价不变。这个反映在
option价格上是不是季报之后一定下跌，因为vol下跌了。如果这样的话，不就可以通
过卖空的方式来套利了吗？即使股价变化，亦可以通过做组合来对冲掉。这种套利模式
有什么不对吗？ |
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d**n
发帖数: 559 | 41 下面是Swaptions Implied Volatility的市场数据，我的问题是为什么随着Option
Term的增加，Volatility减少；同时为什么随着Swap Maturity的增加，Volatility减
少。有什么直观或着理论的解释吗？
Swaption Volatilities
Swap Maturity
Option Term 24 60 120
3 Month 72.47 60.155 47.13
6 Month 69.38 55.58 44.56
1 Year 62.76 50.46 42.06
2 Year 55.255 45.89 39.93
3 Year 50.785 43.28 38.69
4 Year 47.665 41.96 37.9
5 Year 44.41 ... 阅读全帖 |
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d**n
发帖数: 559 | 42 我可以理解swap rates term越长，利率越高，swap rates volatility 越低。可为什
么Swaption作为期权，它的implied volatility，即受 swap rates term的影响; 又受
option本身term的影响，而且都是负的。
rates. |
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t********t
发帖数: 1264 | 43 "基于这个得到的implied volatility surface，可以制定什么option组合"
你这个就有点离谱了。一般用cubic spline做vol surface，出来的surface不一是
arbitrage free。但你基于自己建的vol surface，制定什么交易策略有什么用？回家
交易arbitrage自己东家？ |
|
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y***q
发帖数: 4147 | 45 Do you think these stocks should be trading higher? Use this list as a
starting point for your own analysis.
List sorted by potential upside implied by target price.
1. Warren Resources Inc. (WRES): Engages in the exploration, development,
and production of onshore crude oil and gas reserves in the United States.
Market cap of $213.84M. Price (as of market close on 12/19) at $2.99. Of the
5 analysts that have set a target price on the stock, the lowest price
target stands at $4.00. This implies ... 阅读全帖 |
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g***e
发帖数: 1256 | 46 哪些可以买/卖？
http://seekingalpha.com/article/253122-squeeze-ideas-15-heavily
The list has been sorted by the AGR score.
1. Boise Inc. (BZ): Paper & Paper Products Industry. Market cap of $782.33M.
According to Audit Integrity, the company has Conservative accounting
practices, with an AGR score of 98. Short float at 25.78%, which implies a
short ratio of 10.13 days. The stock has gained 92.69% over the last year.
2. Lindsay Corporation (LNN): Farm & Construction Machinery Industry. Market
cap of $93... 阅读全帖 |
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Y**u
发帖数: 5466 | 47 I hope you can all hear me, can you? Is it quite audible? Right. This is the
last talk. During the last three times that we have met here we have been
talking about the chaos in the world, the misery, the suffering, and the
desire for entertainment and the avoidance of fear. We went into several
things concerning our daily life. During all these talks it must have been
very clear that we are concerned with the human transformation
psychologically, for that alone can bring about a change in the s... 阅读全帖 |
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w********0
发帖数: 1211 | 48 如果我理解正确的话，risk reversal是指一对OTM的call和put的implied volatility
的差，通常会说 25 delta call, 25 delta put, 也就是取使call的delta等于0.25的
那个strike,得到其implied vol,再取使put的delta等于0.25的那个strike，得到其
implied vol, 两者之差叫做25 risk reversal。
那问题来了，这个delta=0.25怎么确定？如果是从Black-Scholes公式对spot求一阶导
数的那个公式
算出来的话，那首先得有vol作为这个公式的一个input才行，可现在本来就是要求
implied vol，这不就成了鸡生蛋和蛋生鸡的问题了吗？也就是说，想要implied vol，
得先定一个strike,然后根据market value从Black-Scholes反解出implied vol; 但确
定strike的方法是要解delta(strike, vol...) = 0.25，可这个vol原本就是要求的。
我想来想去，想到了这三种可能性：
A. ... 阅读全帖 |
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r******d
发帖数: 1879 | 49 摘要:
- Median price to household income ratio is history low at 153%
- history low mortgage interest
- Median mortgage payment is only 78% of median asking rent, and it used to
be 105% before 2005
- new house price is only 25% higher than construction cost, and it is twice
as much in 2005
全文:
With the debt crisis in Europe still unresolved and economic growth in the U
.S. sluggish, the capital markets continue to exhibit elevated volatility.
However, this does not mean that no investment opportun... 阅读全帖 |
|
g********n
发帖数: 2314 | 50 原来是'Performance profiling' could help to catch cheater 现在是 '
Performance profiling' could help to dispel doubts.
Why great Olympic feats raise suspicions
'Performance profiling' could help to dispel doubts.
Ewen Callaway
01 August 2012 Corrected: 03 August 2012
Chinese swimmer Ye Shiwen broke the world record for the women's 400-metre
individual medley event at the Olympic Games on 28 July.
L. NEAL /AFP / GETTY IMAGES
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