楼主: tugchen
1290 0

[期权交易] 怎样rescale 利率,求IV时怎样选择数据 [推广有奖]

  • 0关注
  • 0粉丝

初中生

80%

还不是VIP/贵宾

-

威望
0
论坛币
509 个
通用积分
0
学术水平
0 点
热心指数
0 点
信用等级
0 点
经验
30 点
帖子
1
精华
0
在线时间
37 小时
注册时间
2018-2-21
最后登录
2022-1-21

楼主
tugchen 学生认证  发表于 2018-10-8 05:04:51 |AI写论文
10论坛币
to price a European “down-and-in” option, struck on AMD stock. This exercise should familiarise you with the use of binomial trees, Monte Carlo, the calculation of implied volatilities, and the Greeks. It also introduces you to exotic options.


不是很理解这一步怎么做 选着哪一个值合适,Begin by working through the filtered calls an puts, and decide on which ones are useful for your pricing. You could use all of them, or you could consider only those who meet a particular threshold for volume and/or open interest.

Explain how you chose the interest rate(s) you did for the down-and-in option valuation. 怎么利用LIBOR 来rescale interest from calendar days to network days (and work with network days)? libor
Capture.PNG

关键词:scale ESC ale RES volatilities

您需要登录后才可以回帖 登录 | 我要注册

本版微信群
加好友,备注jr
拉您进交流群
GMT+8, 2025-12-5 22:47