Pricing options via Fourier-Laplace inversion of characteristic function of Lifted Rough Volatility

Discussion in 'Options' started by stochastix, Mar 23, 2022.

  1. Heydrrich

    Heydrrich

    If you're so smart, why aren't you strong?
     
    Last edited: Mar 25, 2022
    #11     Mar 25, 2022
  2. I am, wtf are on about?
     
    #12     Mar 25, 2022
  3. Heydrrich

    Heydrrich

    Good
     
    #13     Mar 25, 2022
    stochastix likes this.
  4. Overnight

    Overnight

    Hey, Barclay, get out of the holodeck and get back to work!

     
    #14     Mar 25, 2022
    stochastix likes this.
  5. [​IMG]
     
    Last edited: Mar 27, 2022
    #15     Mar 27, 2022
  6. The result of Newton interpolation of the vix futures term structure

    [​IMG]

    x=daysUntilCulmination y=price


    x=[[0.72170465313112264205 +/- 1.31e-21], [7.7217046531311224200 +/- 6.71e-21], [14.721704653131123308 +/- 1.86e-19], [21.721704653131123308 +/- 1.86e-19], [28.721704653131123308 +/- 1.86e-19]]
    y=[[19.025000000000000000 +/- 3e-23], [20.550000000000000000 +/- 3e-23], [21.075000000000000000 +/- 3e-23], [21.825000000000000000 +/- 3e-23], 23.000000000000000000]
    Coeffs=[[18.677523308509629787 +/- 4.33e-19], [0.36155789152821563797 +/- 6.68e-22], [-0.024026858209860470552 +/- 3.07e-22], [0.00079255971340973184831 +/- 3.53e-24], [-7.3753991392475392755e-6 +/- 1.65e-26]] would be the parameter vector Z
     
    #16     Mar 29, 2022
  7. Overnight

    Overnight

    You believe what you want to believe. If the Ukraine war ends tomorrow, your entire Newtonian BS math model is going to collapse, along with the VIX term structure.

     
    #17     Mar 31, 2022
    easymon1 likes this.
  8. Shut the fuck up you clueless asshat. There's a thing called hedging you might have heard about. Your such a dumb fuck stick you aren't even worthy of cussing at. But basically you hedge via the underlying and a variance swap. It's not black Scholes you bafoon and Newtonian is not the proper word to use in this context. So keep your bullshit to yourself you fucking pompous idiot
     
    Last edited: Mar 31, 2022
    #18     Mar 31, 2022
    Gazillionaire likes this.
  9. Overnight

    Overnight

    And interpolating BS from my sentence to mean Black Sholes is not proper in this context, because that's not what I meant it to stand for.
     
    #19     Mar 31, 2022