I guess you may want to express it in terms of convexity. What you claim about the slope of the tangent can be expressed with delta. Would it...
Hi Dmo, Your daily pnl is about : 0.5*gamma*ds*ds-theta (gamma could BS's one or a modified one and ds=daily move). So what did you mean...
"For american pricing you just need to use Haug's code with skewness and kurtosis if you want with the american option feature, the boundary...
Binomial model with skewness and kurtosis code p 297 p 298. It may be worth you try with a trinomial model. The implementation is straightforward.
I understand. I know what a gram charlier or an edgeworth series expansion is and I didn't mean that you'd better use one model instead of...
See Longstaff or Brown and Robinson for modified Corrado Su model to avoid negative probabilities and arbitrage. Or try this:...
Huh ? I'm sorry, I didn't experience the same problem with Edgeworth series expansion for option pricing. The only thing I wanted to stress...
What do you want to know about edgeworth or Gram Charlier series expansion ? What kind of problem you got with other skewness ( <-0.8 or >0.8) and...
Right, assuming zero interest rate, that's why bigger gamma/bigger theta for short term options remains the same as lower gamma/lower theta for...
"they also have more gamma, thus more profit potential?" They also have more gamma risk :p . NNT just states that writing a short term option...
There is no such a thing as a pure greeks calculation that will tell you how volatility would move. The only way is by forecasting a behavior for...
It depends on which type of underlying you trade, and what you do with. If you trade skew volatility on currency options, then there is a robust...
My bad. 'Shadow gamma' is explained p138, and vanna is called 'Ddelta/dvol' p200 . DdeltaDvol is an explicit way to describe that vanna is a...
Vanna is called 'shadow gamma' by NNT p 200 Volga is called 'vega convexity' described p184 p 238 and the following ones.
At the money forward, theta is the same for calls and puts.
ha ha ha
Hi, Everybody knows there is a week end. Market makers too. So basically theta is already priced before saturday. Some traders price it...
Very good stuff Dmo.
OP, Remember that a american digital is exercized since it hits the trigger, it's another story with vanilla options. Hence, narrow spread...
Never mind.
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