Calendar and Backspread Question

Discussion in 'Options' started by Adamoptions, Jul 28, 2003.

  1. nitro

    nitro

    Are any of your strategies based on skew?

    nitro
     
    #31     Jul 28, 2003
  2. Yes ...
     
    #32     Jul 28, 2003
  3. nitro

    nitro

    So you are calculating Implieds on the entire market at once on each strike?

    nitro :eek:
     
    #33     Jul 28, 2003
  4. You got it ...
     
    #34     Jul 28, 2003
  5. 100K plus strikes in real time ...
     
    #35     Jul 28, 2003
  6. With a proprietary pricing algorithm ...
     
    #36     Jul 28, 2003
  7. nitro

    nitro

    :eek: :eek: :eek: :eek: :eek: :eek:

    nitro :eek:
     
    #37     Jul 28, 2003
  8. nitro

    nitro

    metoo,

    Do you use the binomial, Black-Scholes, Monte Carlo, GARCH, etc to evaluate the option?

    I understand that the actual calculation is Proprietary, just wondering what algorithm you are using.

    It seems to me that if it is going to be distributable to a cluster, it is probably Monte Carlo?

    nitro
     
    #38     Jul 29, 2003
  9. cartm

    cartm

     
    #39     Jul 29, 2003
  10. Modified BS ...
     
    #40     Jul 29, 2003