I did not know this paper, thanks for posting. As for your question #1: Can you just view (1.7) as a quadratic equation in [$]\sigma_B[$] and solve this in closed form? As for your question #2: Did he maybe mean to say [$]H'(\sigma_B) = \sqrt{fK}[$] (looking at 1.4a)? Thanks for getting involved! H...

Have done some of this modeling in the past on Futures. Did not find any papers of interest, just a rule set based on exchange rules, with equities it can become more challenging given the fragmentation.  But really if you are interested in the spread only, and are willing to assume what was shown w...

Hi,    Looking at a technical paper for converting European Normal Vol back into LogNormal Vol but missing some logic, was hoping you can help.    We start with this 1.2(a): https://i.ibb.co/kQtbtVD/Article-1.jpg   Run into some issues when F->K and use for those cases use 1.4(a,b):    https://i.ib...

Thanks for the kind remarks and interest in the books. Re 3, I don't know what it's called, but to explain it better, consider this setup and a question for you. Suppose an exchange trades euro-style options on a stock with no dividends, and it's the old days where the riskless rate was, let's say,...

Why do you care about implied, but not about local vol directly?  IVOL are usable for contracts without path dependency, otherwise, you have to convert into local vols or develop a "bridge" between IVOL and path-dependent pricing.  @nikol The goal is to have a surface that I can observe a...

Firstly to quickly answer Alan's question, which is intended to guide me to understanding the "americanization/europeanization method" which I still do not understand but want to: In that scenario, one would have to calculate the early exercise premium to be added to the existing european...

Honored to have you chime in Alan. At this moment in time, for me, your book -> Option valuation under stochastic volatility II, seems like an essential resource and a great collection of practical modern derivatives theory. I will have to get a copy of part I and Part II both!  Thanks for the refer...

Hi all, Big question.  1)What is a fast, reliable and market consistent methodology for calculating IV->Smile->Surface for American style, single stocks names, that have dividends, from snap-shot quote data, (1-20 min) about 4000 symbols.   Notes: Whaley, HHL, Bjerk, Binomial, Jump etc.. give approx...

Not much value beyond 5 delta for most observed chains in liquid products. There are often sequences of "flat priced" 0-.05 bid-ask options in clusters out that far. The issue becomes very significant with low volatility, wide strike, and low priced underlyings. Market makers effectively w...