Hello, My understanding is that stochastic option models have a IV that is stochastic and is defined by mean IV and SD of IV.  Is there a way to back into the implied distribution of IV, given market prices, just like we can back into IV itself from market prices.  Basically, how do I find the vol o...

Hello, Can someone explain this to me like I am 5.  I always see this term thrown around but what exactly is going on behind the scenes? Let's say you calculate the historical returns of stock XYZ.   Then you find the standard deviation of the returns.   You plot the returns where x axis is the retu...

I can recommend my book , "Applied Quantitative Finance for Equity Derivatives", which you can find in hardback on Lulu or in paperback on Amazon, see this thread.

Thank you I will take a look.  What's your background?

Assume a very simple asset, a stock with no dividends.  Assume constant interest rates over life of the hedge. Assume 0 costs for storage and the only cost is the interest rates cost.  Let's say you are long this stock and want to completely hedge it with futures by selling futures. The price of a f...

Hello, I'm looking to see if there are any good Options books that keeps up with the times and is more practical. I've read Hull, Cottle, Natenburg, but what I really want to learn more about is vol path and skew, best models to use in different environments.  how to hedge when delta/vol is high, ho...

Hello, So I'm learning about GARCH and ARIMA models and am curious as to how to apply these models in real life.  Like what do people in real life do with them?   So let's say I want to model the returns of some asset using a GARCH model.  I have historical daily returns up until T0, which is end of...

Pretty much every article I read on options and option pricing, they lead you to believe that the option price is based on the current spot price.  For example, option prices are based off what Apple is trading right now.  Is this true? My understanding is that the option price is actually based on...

Pretty much every article I read on options and option pricing, they lead you to believe that the option price is based on the current spot price.  For example, option prices are based off what Apple is trading right now.  Is this true? My understanding is that the option price is actually based on ...

Hello, There is a product that I want to develop a pricing model for.  I don't really have a solid quantitative background, but intuitively, I have a couple ideas on how to price it.  For example, p ricing it can be based off the binary option pricing model, plus a few small adjustments specific for...

Hello, I'm trying to rebuild my foundation knowledge about options.  I see a lot of terms thrown around so it gets confusing as to what people are talking about sometimes.  But is it true that all options are affected by at least these 6 variables: (strike price, underlying price, vol, rates, time, ...

thank you. the one i'm trying to price is cash settled.

oh wow, didn't know this site has a wiki.  Thakns!

so there's no need for the d1 term at all for pricing binary options?

Hello,

I'm trying to figure out a way to price binary options where the payoff is either 0 or a fixed value.  I did some quick Googling and seems like people do use the BSM model to price binary options but I'm not seeing any instructions on how to adapt it.  

Any suggestions?

Thanks!

<t>Hey!I don't know if this is the right forum to ask this question, but any one have any good book recommendations to learn more about macroeconomics and how that relates to the financial markets?I'm looking for a history book, almost a text book, that may cover stuff like:-History of large market ...

<t>Hey,Read heard that there are substantial risks with trading box spreads on American Options...especially when it comes to assignment/delivery/exercise.Can anybody give me a run down as to where the risks come from? For example: If you sell a $20/$21 box spread while the underlying is trading at ...