conversion from volatility spread to premium spread

sushilp · June 19th, 2009, 7:55 am

Is BlackScholes premium calculation is perfect in this case?

amit7ul · June 22nd, 2009, 3:36 pm

you would need to use some greeks here, perhaps vega. I guess, the question could be framed better.

sushilp · September 15th, 2009, 5:11 am

yup, you are right, using vega is another method of spread calculation. But what about higher adjustment in this case? However if you calculate premium spread using Blacksholes, these adjustment might not be needed.