Some obvious facts...

The correct term is "Ito's lemma".
It's been some years ago when I did this. Below is a comment from the source file. Sorry, it's in German, and at the moment I don't have time to translate or comment it further. Suffice to say, that Ito's lemma is eliminated, and that it still gives 100% the same result (had verified this with many tests). Below is only function hdr + the relevant comment, but not the rest of the implementation:

Code:

static double BlackScholes_sub_MY(const bool AfCall, const double S, const double K, const double t, const double r, const double s, const double d = 0.0, const double AdbDivider = 2.0)
        { // 0 < AdbDivider <= 2      (2 ist BS-default)
          // s.a. myoptiomethod.cpp fuer Analyse von BS und dies alles unten

          // !!!!!!!!! SO FAELLT DER ITO-TERM WEG: !!!!!!!!!!!!
          // Der Trick ist anzunehmen dass "K = S * exp(z * s * sqrt(t)  +  u * t)"      (method 1)
          // bzw.                          "S = K * exp(z * s * sqrt(t)  +  u * t)"      (method 2)
          //
          // Die Methode unten ist von mir (2009-09-12-Sa), see also tests in myoptiomethod.cpp
          // Es liefert exakt das gleiche Ergebnis wie BS mit Ito (s.o.)
          // Der Vorteil meiner Methode ist dass es einfacher nachzuvollziehen ist, ausserdem hat es einen optionalen "Divider" - Parameter (vielleicht kann es in Zukunft wichtig werden...)
...snip....

 

(1) you gave a function declaration with no body except comments in German. You've shown nothing, certainly not math.
(2) you've demonstrated you have zero clue what ito's lemma is. It's used in the derivation of bs, not in the bs forumula itself. If disagree, show us which part of the standard bs formula is ito's lemma. Highlight it in bold so there's no confusion.

If you cannot answer (2), then you have demonstrated to everyone your ignorance of the subject matter. Please go read an intro text on options, with real equations.

Ps, I feel you are being a sneaky ass... You used ' Ito-lemma' until I corrected you

 

The cardinal error some people make regarding high vola vs. low vola is that they concentrate themselves on the IV of the option (or even on the IV of the option strike).

I on the other side concentrate myself on the IV (and HV) of the underlying, since everything else (ie. the option) depends on the movement of the underlying.... Ie. that movement is more reliable than option movements/spikes...

 

Why should I share my IP (no, that's not network IP with you? Can you tell me this?
Read the formula in the comment, that's all .
Oh, BTW, you can believe what you want, ahole!

 

It sounds like you are agreeing with me.
Good.
However, I will slightly disagree with one word of your statement.
Instead of saying "that stock movement is more "reliable" than option movements/spikes,"....I would say it's movement is more "predictable".
But I could be wrong. It could depend on who is interpreting the analysis.
Also, I would add, the IV is dependent not just on the actual movement of the underlying, as you stated, but also the "anticipated" movement.
Pre earnings for example.

 

Dude, you have no ip, because you don't even have a clue where ito's lemma is used in the bs formula. Don't show us how to 'eliminate' it, just where it is used in the bs formula. That doesn't give away anything, does it? In English, please, or latex. Cause we don't all speak German.

Come on, just man up and admit you made up some claim to impress us on the Internet, but got called out.

 

the funny thing is.. its so obvious you could learn a thing or two from people that know alot more then you.. but you insist on being arrogant.. i wish i could bet against you.. the fact that your arguing with the specific people your arguing with about math.. and in particular THAT math makes you look like a fool.. and its one thing to call your code garbage.. you know you lost an argument when you start name calling "ahole"

 

If I recall, he reported someone to the administrator earlier today, for a personal attack.
After lecturing him on how using such language was poor behavior to engage in for this forum.

 

For the record, I'm not calling his code garbage. He didn't post anything beyond a generic declaration. The garbage refers to his childish attempt at 'math'

 

Attached are tables for 2months options (t=40/253), and AnnVola=20%, 30%, 40%, for the first 10 days.