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by Ignignot
January 20th, 2006, 5:18 pm
Forum: Technical Forum
Topic: A useful stoch. identity?
Replies: 38
Views: 194998

A useful stoch. identity?

<t>I implemented my own version of this algorithm from the equations given in the Haug book, both in VBA and in Matlab (Matlab was easy because I could just write the equations and let it take care of the vectors). Given the same inputs, I get the same results as the function you provided. However, ...
by Ignignot
January 18th, 2006, 8:08 pm
Forum: Technical Forum
Topic: A useful stoch. identity?
Replies: 38
Views: 194998

A useful stoch. identity?

<t>reply to spursfan's vba code:I copied and pasted your vba code, and then put Option Base 1 at the top. Then I ran it with the values in the collector book, and while the output was the same for t1 = 0, it was different for t1 = 10 weeks and t1 = 20 weeks. I tried it with both T = T and T = t1 + T...
by Ignignot
September 30th, 2004, 11:56 am
Forum: General Forum
Topic: Put call parity in commodities
Replies: 12
Views: 175406

Put call parity in commodities

<t>QuoteOriginally posted by: nazzdackOh my God! You're interested in May Wheat! Focus on the March and July instead. The market will trade out of the March and "skip over" the May and build up volume & open interest in the July. If you're really interested in grain options, focus on Corn and So...
by Ignignot
September 29th, 2004, 12:34 pm
Forum: General Forum
Topic: Put call parity in commodities
Replies: 12
Views: 175406

Put call parity in commodities

<t>QuoteWhen we get closer to expiraton, what might the daily volume be? How many market makers are there? This seems to be a pretty thin market.It is a pretty thin market, that's why I'm having trouble fitting the puts to a model, because until recently there was absolutely no put data. In 2 months...
by Ignignot
September 27th, 2004, 4:06 pm
Forum: General Forum
Topic: Put call parity in commodities
Replies: 12
Views: 175406

Put call parity in commodities

<t>By popular I mean that the call contracts are relatively popular in comparison to the put contracts. The put contracts currently have 1 open interest in a single contract, whereas the call contracts have around 1000 open interest spread across 20 contracts. Again this example is Chicago wheat in ...
by Ignignot
September 24th, 2004, 5:30 pm
Forum: General Forum
Topic: Put call parity in commodities
Replies: 12
Views: 175406

Put call parity in commodities

<t>I am currently producing smooth implied volatilities with a number of functions. The tail sigma differences between put and call are easy to predict, because deep itm options tend to have 0 extrinsic value, while deep otm options tend to have 1 tick extrinsic value. However there is a transition ...
by Ignignot
September 23rd, 2004, 4:35 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Changing email address bug
Replies: 1
Views: 175367

Changing email address bug

<t>I recently signed up for the wilmott forums, first trying my gmail address, which didn't work, then trying my work address, which worked. After I was added to the user list, I tried changing my email address to my gmail address, because it is easier for me to access that from home. Of course it w...
by Ignignot
September 23rd, 2004, 12:59 pm
Forum: General Forum
Topic: Put call parity in commodities
Replies: 12
Views: 175406

Put call parity in commodities

<r>Hi, I'm a programmer who writes a lot of financial model code (a financial programmer?) for my company's quants. I understand the vocabulary, and I can handle the math (BS in Electrical Engineering <E>;-)</E>. Recently I have become interested in modeling the difference between puts and calls in ...