Derman

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

 

I CAN'T HEAR YOU. PLEASE TYPE LOUDER!

 

@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.

 

Say what?

 

I too have noticed. :(:(:(

 

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

 

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