Hi bros,Is there any good methodnology or tips to calculate IV ASAP??

weight vega??Does it mean that the vega*(actual price - model price)???

weight vega??Does it mean that the vega*(actual price - model price)???

<t>hi bro,As a maket maker, you will keep quoting bid and ask price in the market.But if your bid or you ask price was hitten by the market, what and how would you do to keep the spread or profit that you made?maybe we can squre the position with certain spread immediately....and???because the impli...

because I can not figure out what will be the difference if i use sticky by strike in equity market..

<t>hi bro,what is the difference between these two??In FX maket ,we always use sticky by delta to deal with the options.But in equity market,we just use sticky by strick.If in equity market, we just use sticky by strike....and will there any problem with that ??no matter for greek calculation or hed...

Thanks...Do you have reference for L-BFGS

Hi bro,I have tried Nelder-Mead and LM method.Is there any other fast and good way ??

Hi bro,I have tried Levenberg-Marquardt algo to calibration these models.I want to find other numerical metods to fit the market data and let the squre-error of the fitting result less than LM algo result.

If I have a huge index option position including long and short calls and puts ,how do I know my skew risk ?25DRR increase 1% or decrease 1%, what is the effect to my P&L??

HiCould anyone explain how to make money by quoting bid ask price ???Is there any concept to do this??Or any other reference for high frequency trading concept in options or futures market.Many thanks@@@

hiDoes anyone know how to solve Heston model quickly??It is a good model but I can not calculate it AFAP.Does anyone try Fast Fourier or numerical method??

ha thanks a lotmaybe it is what I want

hiI have tried some models of course included the SABR model.But these models still not fullfilled my need.Are there any other models or ways that could do better than this??Plz give me a direction.....thinks.