m******n 发帖数: 354 | 1 现在在做股指期权定价,用OVME pricer可以看到一个bloomberg volatility.对于每一
个买入日,每输入一个不同的到期日和一个不同的moneyness就会有一个新的vola. 我
想问的是,对于每一个买入日,有没有一个整个表格式的volatility surface呢?我查
到了一个,比如说30day_impvol_100%_moneyness,这是一个可以输到excel去的表格,
但是我对比了一下这个表格里的vola, 在同样的设置下和OVME定价器里的数字并不完全
一样,这是咋回事啊? OVME里的bloomberg vola是怎么来的啊? 恳请牛人们不吝赐教。 |
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m******n 发帖数: 354 | 2 help desk 也提示了这个,但和ovme里生成的vola还是不一样。 我还来决定采用ovdv
了,谢谢你的回答 |
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i********c 发帖数: 7033 | 3 已经由BS模型求出一系列implied volatility 的离散点(比如newton法求得),希
望拟合出整个implied vola 曲面,有哪些方法?各有些啥优劣,及检验标准如何。
另外,基于这个得到的implied volatility surface,可以制定什么option组合,
或者交易策略?
现在写一个报告,缺乏金融背景,看得不甚明白。希望懂的人指点一二啊。。。或
者推荐看一些文章和文献也好。谢谢了。 |
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G****e 发帖数: 11198 | 4 http://www.freep.com/article/20120617/BUSINESS06/206170479/Vola
Michigan's freakishly warm March followed by overnight freezes in April
devastated many of the state's largest fruit farms.
Cherries bore the brunt of Mother Nature's whiplash. The state, which
produced 70.9% of the nation's tart cherries in 2010, is expected to harvest
a mere 2 million pounds of tarts this year, down from 135 million pounds in
2010 and 266 million pounds in 2009, according to the Michigan Frozen Food
Packers Associ... 阅读全帖 |
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c**2 发帖数: 8496 | 6 I 've seen a news program a few months ago (maybe ABC 20/20?) that they set
up an ipad leaving it at airport TSA check point and experiment what would
happen. Their hidden camera recorded that a TSA agent took it but Ipad had
not shown up at lost & found for days. So they turned on the home-ing
software and followed the signal to a house miles away. Vola, the house
belongs to a TSA agent and the news got the agent fired. |
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u*********e 发帖数: 9616 | 7 gejkl,
Thank you very much for helping me answering my question. I was doing
research myself and figuring out the issue. You are right. I rewrite the
query to get rid of cursor and use PATH XML instead.
One interesting thing I observed is that after I updated my sp and run the
report, it gave out an error msg:
"An error occurred during local report processing.Exception has been thrown
by the target of an invocation. String was not recognized as a valid
DateTime.Couldn't store <> in Stmt_Date_Cre... 阅读全帖 |
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m******n 发帖数: 354 | 8 同贴再问一个吧, 就是OVME中的dividends数据是哪来的啊,有没有也有一张表可以下
载到excel里去的啊?谢谢 |
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k***g 发帖数: 7244 | 10 你如果对这方面根本不熟悉,为啥要写报告? homework? |
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t********t 发帖数: 1264 | 11 "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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i********c 发帖数: 7033 | 13 是完全没这方面经验啊,想转行这块,被要求自己看书写实习报告。
我就是想先有个大概的方向好看书。 |
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i********c 发帖数: 7033 | 14 这个是别人跟我说的大概的报告方向,所以我也不是很明白啊。
我还是一步步做,先拟合出vol surface吧。。 |
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i********c 发帖数: 7033 | 15 楼上一人先发两个包子,我最近只能先浏览这方面的书,希望能先整理出大概的方
向。 |
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