SERVING THE QUANTITATIVE FINANCE COMMUNITY

JuniorQuantHK
Topic Author
Posts: 8
Joined: April 21st, 2009, 8:51 am

### Option contingent on realised volatility

Hi, I would like to know how we can price option contingent on realized volatility.What kind of model can we use? I have implement some contingent option with contingency check on the spot or basket but not on the realized volatility.(with montecarlo simulation and assuming flat volatility)But for the contingency on the realized volatility I guess we need to implement stochastic volatility model.thank you

ghlian
Posts: 5
Joined: March 27th, 2007, 1:21 pm