Custard, whoever you are, (with a name like that you must be a fool)Your obviously an idiot, so save your sarcasm for people with IQ’s as low as yours, or with names like tart or apple pie, you prize fool.Guess the words F*** YO* In fact I am sick of this shit, bye bye WILMOTT FORUMS

<t>Whoever you are,I think it you that is confused, would a US STYLE 10 delta call trade at the same level as a -90put? For goodness sake get real, and stop behaving like you know it all. European options trade at parity simply because the extrinsic component does not encompasses the early exercise ...

<t>Listen Clown,You probably are old enough to be my father; I think you mean Natenberg.So you have traded many markets were you any good? I doubt it otherwise you would not be suffering from the hideous ‘small dick’ syndrome.Learn some quantitative mathematics idiot it’s hardly topological group th...

<t>To you two,I really am sick to death with people like you two who are nothing more than textbook merchants. Your hardly John von Neumann or Ed Witten and I doubt if you two have evertraded.If you were real mathematicians (pure) I might entertain you, but your not so save yoursarcasm for someone e...

<t>HelloSorry my dear friend I beg to differ; working as a trader and I can tell you for 50 cents that in a bull market calls will trade at a premium to puts and visa versa. Call-put parity is simply a tool used by MM to price synthetics in the early days. I think I know the diffrence between volati...

<t>Hi All,In the absence of dividends it is never optimal to exercise an option early as one strips away the extrinsic value (i.e. carry, volatility component and for US style options the early exercise component).If one assumes call put parity then from the synthetic we can calculate put prices fro...

Aaron many thanks once again.RegardsSi

<t>Hi All,Any ideas how one calculates the implied volatility/ FV figure when compnay X buys company YAssume Comp X (U/L asset Vol 20%) Comp Y (U/L asset Vol 18%) The trader wants to price Strike Price X this being a new/existing strike for U/L asset X, How does the market normally price this option...

Thank you quantman.RegardsSi

<t>Hi SPAAGG, Thanks for your prompt reply, but say you do not have a liquid market and that theLongest dated volatility skew observed is 1yr; you want to price the 2 year option at strike X - 50 points away from the ATM.You use GARCH (2yr historical data) and forecast the 2 year ATM now someone wan...

<t>Hi all,Can anyone suggest a method or point me to some documentation regardinghow the GARCH model can be used to determine the volatilities of other strikesprices for a given option series, given, that the GRACH model will generate a forcast future volatility estimate for the U/L asset the near t...

<t>Many thanks Graeme, Silverside.Can one still use the implied tree and an iterative algorithm to calculate an 'implied volatility' given market price? if so what does it represent?I believe the answer is no as we are not iterating to calculate a single volatility; the Arrow-Debreu prices prices an...

<t>Thanks silveside.Can I just ask one more question please..Since I know have the local volatilities for each node of binomial/trinomial latticeI can now use these local volatilities to build the up/down/horz movements with their corresponding probabilities. I have seen an additive binomial model t...

<t>Hi All,Can someone tell me what the purpose/ final result is when one uses market option prices tobuild an arbitrage free implied tree?When the tree is build we have a descretization (binomial/trinomial) of local volatilities do we thenuse these local volatility values at each node to build the r...

<t>Hi All,Aaron your expertise is greatly appreciated thanks for taking the timein answering my questions.The GARCH model when used to predict future volatility estimates of an underlying asset class provides us with a single volatility. I can thenuse this volatility to price say an ATM option. Assu...