s****y
发帖数: 390 | 1 Form the following contracts R1, R2 are returns observed between T1 & T2
for two stocks S1 & S2, given that T0
the following payoffs assuming that you are the holder:
(1) MAX(1,2 + MIN(R1,R2))
(2) MAX(1,2 - MIN(R1,R2))
a) Are you long or short volatility?
b) Are you long or short volatility skew?
c) Assuming a Heston variance process are you long or short volatility of
variance? | s****y
发帖数: 390 | 2 这个题是不是很难啊？
not sure about the volatility. if vol goes up, how will min(r1,r2) change?? | J*****n
发帖数: 4859 | 3 这个题目原来就看过，不过不是很理解，这里的vol是1的vol还是2的？ | s****y
发帖数: 390 | 4 哪里有啊？？
vol 是1 还是2 不是很有关系吧，我假设两个vol都 increase | y*w
发帖数: 238 | 5 不是很明白 MAX(1,2 + MIN(R1,R2))
return最小就是-1，加上2还是大于1，这个max有啥用？ | A***l
发帖数: 302 | 6 Not if it's log returns.
【在 y*w 的大作中提到】
: 不是很明白 MAX(1,2 + MIN(R1,R2))
: return最小就是-1，加上2还是大于1，这个max有啥用？
| s****y
发帖数: 390 | 7 max 好像是没有用
不过去了max，还有min
R1 or R2 vol goes up 的话，min(R1,R2) 是 go up么？如果R是simple return, R 是
lognormal | s****y
发帖数: 390 | |
| y*w
发帖数: 238 | 9 lognormal 貌似明显变小
【在 s****y 的大作中提到】
: max 好像是没有用
: 不过去了max，还有min
: R1 or R2 vol goes up 的话，min(R1,R2) 是 go up么？如果R是simple return, R 是
: lognormal
| c**********s
发帖数: 295 | 10 when vol goes up, mean(min(r1,r2)) goes down, vol(min(r1,r2)) goes up, of
course we need to make assumption on rho(s1,s2)
a:
1) when vol is low you short vol, when vol is high it is possible you will
long vol (assuming correlation between s1 and s2 is not -1)
2) you long vol
b:
1) you short skew
2) you long skew
c: i need to read more on heston but in SABR
1) when vol is low you short alpha, but again it could turn when vol goes up
2) you long alpha |
|
