Pure Jump Levy

V

VGSSD

Wondering if these models are used much in practice, and if so, by whom for what?

Strengths/weaknesses from practitioner standpoint? How often do you re-calibrate?(I assume this depends on the application, just interested in general comments here)

Thanks.
 
This is a trading forum, wherein most of the guys either trade intra-day or automated arb/market making strategies or global macro trading.

This is not a derivatives pricing forum. Just to educate you, you don't need jump diffusion to make money in the market and i will even venture to say that if you try to use jump diffusion, you will never make money. Your question is more suited for a forum like wilmott.
 
Actually, this is an options forum. Would assume that anyone trading options tracks at the very minimum implied volatilities and the greeks, and was simply curious if everyone still does this within a BS framework.

No claim was made that you need Jump Diffusion to make money. Thank you for an unhelpful response.
 
Jump diffusion is very well known. Just that for trading vanillas, a practitioner looks at imp. vol computed from BS as BS is mkt standard for quoting vanillas both in equity, FX and rates world. Not sure about commodities though.

For exotics, some desks use jumps etc. but its not prevalent in all banks.
 
You must log in or register to reply here.
Back
Top