l*0
发帖数: 19 | 1 脑子短路了...
the implied volatility of 1 year option is 20%, and the implied volatility
of 2 year option on the same underlying is trading at 10%.
estimate the implied volatility of a one year option forward starting in 1
year
what happens if the one year volatility jumped to 25%.
多谢 |
k****y
发帖数: 4083 | 2 u asking about the 2-yr value? |
b*******r
发帖数: 32 | 3 variance(year1 to year2)=variance(now to year2)*2 - variance(now to year1)*1
Implied volatility of a one year option forward starting in 1
year=sqrt(variance(year1 to year2))
But you have implied volatility of 2 year option <<< implied volatility of 1
year option. So in this case, it will end up seeking square root of
negative number- there is no solution in this case.
Gurus, any ideas? |
i****e
发帖数: 78 | 4 the implied vol of forward start option only
depends on the time difference, therefore the
implied vol of forward start option is 20% for
case 1 and 25% for case 2.
*1
1
【在 b*******r 的大作中提到】
: variance(year1 to year2)=variance(now to year2)*2 - variance(now to year1)*1
: Implied volatility of a one year option forward starting in 1
: year=sqrt(variance(year1 to year2))
: But you have implied volatility of 2 year option <<< implied volatility of 1
: year option. So in this case, it will end up seeking square root of
: negative number- there is no solution in this case.
: Gurus, any ideas?
|
q***t
发帖数: 21 | 5 假设0-->1和1-->2年是两个bivariate gaussian
correlation只能从-1到1，所以可以求出forward start option
的vol的上下限。
【在 l*0 的大作中提到】
: 脑子短路了...
: the implied volatility of 1 year option is 20%, and the implied volatility
: of 2 year option on the same underlying is trading at 10%.
: estimate the implied volatility of a one year option forward starting in 1
: year
: what happens if the one year volatility jumped to 25%.
: 多谢
|
s*****g
发帖数: 323 | 6 are you sure? I don't get it...
【在 i****e 的大作中提到】
: the implied vol of forward start option only
: depends on the time difference, therefore the
: implied vol of forward start option is 20% for
: case 1 and 25% for case 2.
:
: *1
: 1
|
p****o
发帖数: 1340 | 7 your numbers're wrong?
【在 l*0 的大作中提到】
: 脑子短路了...
: the implied volatility of 1 year option is 20%, and the implied volatility
: of 2 year option on the same underlying is trading at 10%.
: estimate the implied volatility of a one year option forward starting in 1
: year
: what happens if the one year volatility jumped to 25%.
: 多谢
|
f*******y
发帖数: 52 | 8 I think the formula should be
v^2 = (v1^2 + v2^2) / 2 |
