Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.
Feb
26
The volatility surface implied by option prices presents a structure that changes over
time. The aim of this paper is to present a framework to model the implied volatility
of the FTSE options in real time, and to present a prototype application that
implements this framework. The authors adapt the parametric models presented in Dumas et
al (1998) to estimate the surfaces across moneyness instead of across strikes, they
discuss how this framework can be used in applications of option pricing and risk
management.
time. The aim of this paper is to present a framework to model the implied volatility
of the FTSE options in real time, and to present a prototype application that
implements this framework. The authors adapt the parametric models presented in Dumas et
al (1998) to estimate the surfaces across moneyness instead of across strikes, they
discuss how this framework can be used in applications of option pricing and risk
management.
Jul
30
How to calibrate a binomial tree to the volatility surface implied from market option prices. Code in Matlab.
http://theponytail.net/CCFEA/
http://theponytail.net/CCFEA/
