I don't know what sle's 3rd column is supposed to tell us, but when I do the same calculation I get different values (year=253 trading days in my...
Yes, I'm talking only of an implementation w/o Ito's lemma. If you can't come up with a solution w/o Ito's lemma, then, hmm. it's obviously your...
Can you check your calculation of the 20% vola. Shouldn't that be rather about 22% instead of 39% ?
Ito's lemma is indeed missing in my code because I purposely eliminated it! Got it now? I'm currently a part-time trader, not a researcher. As...
I'm not sure if we talk about the same thing. What do you think is the goal of these calculation? Asked differently: what kind of result or...
Wasn't it the same with ENRON?... :D
The following table uses gradually rising vola from 20% to 30% in 10 days. Compare these results with that of constant vola...
That's what I did, there's nothing more re the BS formula. Research is time consuming, the last time I studied this was 3 years ago, I would...
I just wonder why people are so stubborn not to understand this simple method. The HV is just for orientation, you can pull in the desired vola...
Sorry, I don't get what you mean. The table simply says: if at time t the price of the underlying moved x% _since opening the position_ then the...
Just look at wiki. It's not for the layman http://en.wikipedia.org/wiki/Itō's_lemma
Give an example what you mean.
Who gives a fk what you say or believe, not me :D
This thread is not about my BlackScholes implementation w/o Ito's lemma. I'm also not willing to publish it here in this forum.
I have worked on the BS stuff in 2009 (created a library), hadn't looked at it since then, just used the library, today was the first time since...
He called me an "ass", and has got the only right answer...
Further discussion of Ito's lemma is off-topic in this thread.
"deltaSpot%" in the posted tables means the change% of the underlying _since opening the position_
options table for AnnVola=40%, s. a. prev. posting
options table for AnnVola=30%, s. a. prev. posting
Separate names with a comma.