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by AVt
February 4th, 2002, 9:02 pm
Forum: Technical Forum
Topic: Long dated implied volatilities on illiquid stocks
Replies: 4
Views: 189549

Long dated implied volatilities on illiquid stocks

<r>Curious: asking a question, i would be interested in answers, thus would react ... <br/> <br/> Anyway: besides Aarons correlation approach this is a common problem on estimating OTC trades - hence only another partial answer ... If you never observed the market you would ignore a quote request, s...
by AVt
January 29th, 2002, 8:08 pm
Forum: Technical Forum
Topic: High Nasdaq implied volatility
Replies: 24
Views: 191883

High Nasdaq implied volatility

<t>Since for pricing i live by incident in a deterministic world it is<br/> hard for me to understand how to derive it from the past.<br/> <br/> Hm, sigh, i have to learn the stochastic staff, yes. But if i look at<br/> a market makers job he has to have his prices close to the market and<br/> thus ...
by AVt
January 28th, 2002, 7:59 pm
Forum: Student Forum
Topic: Garch with exogenous variables
Replies: 4
Views: 189394

Garch with exogenous variables

<t>Matthew,<br/> <br/> may i ask for help (ok, it is only related to the topic)?<br/> <br/> Having Maple (not Matlab) i can not use your code, but worked with<br/> the Excel example on Garch(1,1), which was placed here some time ago.<br/> <br/> Trying it for an equity index (german Dax) the results ...
by AVt
January 28th, 2002, 11:18 am
Forum: Book And Research Paper Forum
Topic: Real Options Texts
Replies: 5
Views: 190300

Real Options Texts

One more link, it is a review on literatur: Le choix des investissements et les options réelles - une revue de la littérature

http://www.dauphine.fr/cereg/Cahiers/cahier200005.pdf (115kB)
by AVt
January 20th, 2002, 2:22 pm
Forum: Technical Forum
Topic: High Nasdaq implied volatility
Replies: 24
Views: 191883

High Nasdaq implied volatility

<t>Hist vs impl Vola: i would not take historical vola for pricing (for example the usual one has ghost effects) and there is no reason why having the same number of days would give a 'correct' estimate satisfying market prices. looking at your zipped image it seems like impl vola ~ hist vola + shif...
by AVt
January 4th, 2002, 8:47 pm
Forum: Technical Forum
Topic: Vol models: sticky strike etc.
Replies: 11
Views: 191103

Vol models: sticky strike etc.

<t>Hi Pete,but this can not be all the explantion. It does not explane, why the minimum of the smile goes to the spot if time finishes (thus you adjust your vol by strike the next day and you can see this on the surface). And there are quotings in percent as well (which regard the spot and usually a...
by AVt
December 29th, 2001, 8:40 pm
Forum: Student Forum
Topic: Modelling Volatility during Trading Hours
Replies: 3
Views: 189317

Modelling Volatility during Trading Hours

From working with a trader on index options on the german DAX i know, that usually BS is used. The vola is estimated through estimating an adequate price and estimating the adjusting of the vola smile to be 'smooth'. Thus this is completely towards a current market.
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