Is is possible using options and a pair of correlated stocks to extract the premium from the spread?Or are there and other methods/types of contracts that could do it?ThanksTinkerz

Could you keep in contact with you findings? finding out the problem is somewhat out of my depth.ThanksTinkerz

<t>I am using the book "Option Pricing Models and Volatility"I was looking at implementing the Heston and Nandi 2000 Garch Model for option pricing.However for deep out of the money Puts and Calls there are negative option prices, this does not work in the real world.Am I missing something obvious a...

What is the Drift in Options and Drift in Stocks.I would like to understand what drift refers tooMany ThanksTinkerz

Thanks, I do a GARCH model to get the volatility, I think I will have to do some pondering on it.Many thanks for your reply

What I meant was,If you had daily data of historical volatility for a stock, what would be the probability of a move from a low volatility reading to a high volatility in x days from the data.

Dear AllAre there any books or advice here on working out the probability of a move in volatility from a low to high or low medium high regime in the next X days?ThanksTinkerz

Thanks, I was really looking for options strategies rather than pricing

Thanks, I was really looking for options strategies rather than pricing

<t>I purchased the book Option Pricing Models & Volatility be Rouah and Vainberg, that has a very good VBA CD with it.Can someone recommend me an option book or books with VBA code for Options strategies that include Volatility arbitrage as well as bull/bearish strategies.I am looking for charts...

thanks, i will take a look if they do a demo, but still after vba code

it going to be a randomized search but from an initial guess

<t>I purchased the book Option Pricing Models & Volatility be Rouah and Vainberg, that has a very good VBA CD with it.This website recommeded it, so I am back with another question Can someone recommend me an option book or books with VBA code for Options strategies that include Volatility arbit...

I would like to find the minimum number for a set of inputs.The inputs could be between 2 and 25, so a wide range.What would be the best method for finding the root? or minimum?Or is a Monte Carlo method better?Tinkerz

<t>Thank for this, looks like what I am after.Ok just one more thing, this looks like what I am after, GNU and boostAre there online forums for these, these free tools look good but I suspect I will be asking questions on installation and functions on each one, I am looking for specific functions.Wh...