Recent content by tradingbuddha

I’m working on an Electronic arbitrage system that looks for cases at one particular moment, where some security is mispriced relative to some other security (i.e., in violation of the law of one price). The goal of the predictor strategy is to identify price discrepancies that involve a time...

I'm trying to price SPX options that are options on Cash, but would be hedging my trades and position with using S&P futures. Am using Black Scholes model to price options and a wing volatility model to fit implied vols per strike level. How would I adjust for interest rates, keeping in mind my...