<t>For American Vanilla Options that I just want to price with volatility, is there anything better? I'm getting accurate values with 9 time steps (whereas Trinomial trees, CRRs and finite difference methods are over 50). My biggest problems with L-R is that (a) it's so accurate with so few time ste...

This thread would make for a good sporcle. My additions:"It was a bright cold day in April, and the clocks were striking thirteen."- Money...? in a voice that rustled.- Paper, Yes.

1. Collect flash orders.2. ???3. Profit

<t>njg1527, this is the third time I've encoutered a post of yours where you just ask Wilmott members to do your job for you. And a quick googling of 'njg1527 site:wilmott.com' reveals a whole series of posts where not only do you never contribute to a discussion of valuation, you never even express...

<t>I've been testing LevMar for a few weeks fitting SABR curves to market data, and I don't have a very strong grasp on what damping parameters work best under what circumstances. It seems like using a higher lambda (0.5ish) will result in a worse fit in fewer iterations of the algorithm. But lower ...

0'X = X/800. In futures, for X=0,2,4,6. In options, for X = 0-7.

<r><URL url="http://www.ams.usda.gov/mnreports/gx_gr113.txtChoose">http://www.ams.usda.gov/mnreports/gx_gr113.txtChoose</URL> a cash market, and add in shipping costs. Whatever is cheapest is your best 'synthetic' spot-future relationship. You can't just buy one side and sell the other, like with ma...

<t>It settles into physcial delivery. 5k bushels. The drop-off point is some train yard in Chciago. I don't know the specifics about what container it must be in, or what the costs are associated with said containter, but i think it needs to be in a train car. 1102'0 = 11.02 $/bu906'6 = 9.0675 $/bu ...

<t>Define an 'expected value' of the dividend stream between two dates using Optionmetrics or Bloomberg or whatever. You could then estimate a volatiltiy of the div stream, and plug everything into Black-Scholes. Just treat delta as a risk that's harder to hedge off, and probably add some skew and s...

Is this product that you're trying to hedge similar to the CBOE's buywrite index?

<t>They have an extremely secretive fund that offers unbelievable returns.Do any of you guys/gals have any experience trading with them or brokering any of their orders? I know they're mostly electronic, but have they ever been on the other end of an "obvious error" bust request or anything? What ex...

What stock options are you doing that even see 10k orders per day? Unless you're talking about <10 lots, you're going to be a market taker most of the time. And even then...

Shendon Natenberg's Option Volatiltiy and Pricing is a very popular introduction for vanilla options traders.

<t>QuoteOriginally posted by: PaulIt would be a miracle if the best power of volatility in the process were exactly the same power for which there is an exact solution...i.e. 0.5. It might almost make me believe in god. (Caveat: Unless there is a feedback mechanism thanks to everyone using the same ...

<t>I think you're leaving off the biggest potential problem (though #4's solution would help fix this), and it's one that Taleb has been campaigning against for years, which is the inconsistency of a trader's objective and a investor's (and in this lastest case, the world's). And CDSs make it partic...