<t>i guess the first question is whether to use a deterministic interest rate model or a stochastic interest model, for option market maker.to have stochastic interest and vol model at the same time does introduce a lot operation overhead and I don't think it will be really that necessary.the vol se...

<t>spursfan, comparable means similar company in same sector?QuoteOriginally posted by: quantcookif a tech company is going IPO next month, is there a model to value their call or put options now?if the industry profile and company past balance sheet and revenue are known, what is the best practice ...

if a tech company is going IPO next month, is there a model to value their call or put options now?if the industry profile and company past balance sheet and revenue are known, what is the best practice to value and hedge this option.

QuoteOriginally posted by: AlanI wasn't aware until your post. But just googling suggests it is largely a formality: all trading for a particular contract ends exactly as before.At least, that's my impression.so equity option still use friday close?

CBOE is changing saturday expiry to friday.so the equity option settlement price is friday closing or first print on friday when market open, like the SPX option.

<t>QuoteOriginally posted by: daveangelyou might just need to make the quanto adjustments and use the Ouwehand's approach after thatthat's what i'm thinking.but think in this way, this rainbow option definitely has a fx derivative in there, and quanto adjustment does not take fx rate into pricing, i...

I'm trying to price a rainbow option whose underlying are different index denominated in different currencies.Ouwehand's paper shows a closed form for underlying in same currency.I wonder what should the model be if it involves different currency, and rate.

QuoteOriginally posted by: AntonioThere is a closed-form characteristic function (assuming the jumps are independent of the Brownian motions of course).Antoniocan you name a paper on this closed form?

QuoteOriginally posted by: Alansure -- adjust by adding a two-sided jump distribution -- say double exponentialis there a close form with that?

I observed recent rush for calls at this rally.as a result, iv for OTM calls are sky high some day.Is there a adjusted heston model that can address this tail spike?

i know there's an analytical solution for heston model on option price, but now if I have the vol surface somehow, is there a way to skip calculating the c/p price to calibrate the surface?i guess there should be such a way, but is there a paper on this?

how about China. IB doesn't have access to china's futures exchange.btw, you pic is sexy. i like itQuoteOriginally posted by: mityes Timber Hills (aka IB) operates in hk.

Marinemind to share your experience with the trading in china?

does anyone have any experience in algo trading on china's futures market.i'd like to find out if same model here need to be adjusted just a bit in forecasting to fit the market there.as i know, there's really no high frequency trading there.

looking for someone like quanthouse or vcap, but they don't handle connectivity to china's exchange or brokeranyone else?