Recent content by sna

EVEN WITH LOCAL VOLATILITY U NEED IV LIKE LOCAL VOLATILITY IS AN EXTRA STEP

IF U WAN SKEW U CAN GET FROM BS BUT THIS THREAD IS ABT THE USE OF LOCAL VOLATILITY NOT BS NOR THE SKEW

DONT AGREE THE SKEW MAY DERIVE FROM BS WITH USE OF OPTION VALUE ANYONE WAN TO DISCUSS WHATS THE USE OF LOCAL VOLATILITY FOR A TRADER? WHY COMPUTE LOCAL VOLATILITY WHEN U CAN GET IV FROM BS?

A FEW QUESTIONS ABT OPTION VOLATILITY 1) WHATS THE USE OF LOCAL VOLATILITY? THE COMPUTE PROCESS REQUIRES IV WHICH DERIVED FROM BS PRICE BUT IF U CAN DERIVE IV FROM BS U HAVE THE SKEW SO WHY BOTH WITH LOCAL VOLATILITY? 2) LOCAL VOLATILITY VARIES WITH MKT PRICE AND DTE BUT NOT TRUE COS THE...