Derman

[sna]

EVEN WITH LOCAL VOLATILITY U NEED IV

LIKE LOCAL VOLATILITY IS AN EXTRA STEP

 

[nooby_mcnoob]

EVEN WITH LOCAL VOLATILITY U NEED IV

LIKE LOCAL VOLATILITY IS AN EXTRA STEP

I GUESS THE POINT IS TO GET A MORE COMPREHENSIVE MODEL OF THE MARKET EVEN IF IT USES BS IV AS A FUNCTION OF STOCK PRICE AND DTE TO GET IT.

EDIT: OR MAYBE IT HELPS TRADING LESS LIQUID OPTIONS

 

[Robert Morse]

I CAN'T HEAR YOU. PLEASE TYPE LOUDER!

 

[ETJ]

@sna is looking for some insight here into the treatment of volatility in Emanual Derman's book - assuming from the title of his original post. Much of the genuine quant talent that was/is here is either hiding in the weeds or moved to a genuine institutional messaging site.

 

[Overnight]

@sna is looking for some insight here into the treatment of volatility in Emanual Derman's book - assuming from the title of his original post. Much of the genuine quant talent that was/is here is either hiding in the weeds or moved to a genuine institutional messaging site.

Nobody can hear you at this point ETJ, because everyone now has TINNITUS!

Teehee.

 

[ETJ]

Say what?

 

[ironchef]

Much of the genuine quant talent that was/is here is either hiding in the weeds or moved to a genuine institutional messaging site.

[COLOR=#000000]I too have noticed.[/COLOR] [COLOR=#000000]:(:(:([/COLOR]

 

[nooby_mcnoob]

[COLOR=#000000]I too have noticed.[/COLOR] [COLOR=#000000]:(:(:([/COLOR]

Why would they stay around if they learn nothing. Bring yourself up.

 

[Wheezooo]

Why would anyone teach anyone about options if you can't call them horrible politically incorrect names and throw things at their head?

 

[nooby_mcnoob]

Why would anyone teach anyone about options if you can't call them horrible politically incorrect names and throw things at their head?

I see you've dealt with quants in real life