j********t
发帖数: 97 | 1 Given implied vol for all strikes, how do you determine if there are
arbitrage opportunities? |
c******s
发帖数: 270 | |
l*********t
发帖数: 89 | 3 I believe the Graph of Vol w.r.t Strikes should be convex, otherwise there
should be an arb opportunity.
【在 c******s 的大作中提到】
: try butterflies
|
a********e
发帖数: 508 | 4 It's a reasonable guess. But I'm afriad you can't find arb that easy by just
looking at the implied vol curve
Why not calculate the option price directly to see if the function of
option price is convex w.r.t strike
【在 l*********t 的大作中提到】
: I believe the Graph of Vol w.r.t Strikes should be convex, otherwise there
: should be an arb opportunity.
|
j********t
发帖数: 97 | 5 Agree with you.
Implied smile/ implied skew is empirical result. It doesn't seem to be very
rigorous and simle/skew/frown may
behave differently to different derivatives.
It sound good to calculate BS price from implied vol and verify convexity.
Thanks.
just
【在 a********e 的大作中提到】
: It's a reasonable guess. But I'm afriad you can't find arb that easy by just
: looking at the implied vol curve
: Why not calculate the option price directly to see if the function of
: option price is convex w.r.t strike
|
l*********t
发帖数: 89 | 6 The idea is right. But if this is an interview question, we are given a
number of Vol, it doesn't seem quite realistic to calculate option values in
mind.. and the quick approximation formula of option value may suffer to
some error.
just
【在 a********e 的大作中提到】
: It's a reasonable guess. But I'm afriad you can't find arb that easy by just
: looking at the implied vol curve
: Why not calculate the option price directly to see if the function of
: option price is convex w.r.t strike
|
a********e
发帖数: 508 | 7 can you show the implied vol is convex in strike theoretically?
I don't think it has to be
in
【在 l*********t 的大作中提到】
: The idea is right. But if this is an interview question, we are given a
: number of Vol, it doesn't seem quite realistic to calculate option values in
: mind.. and the quick approximation formula of option value may suffer to
: some error.
:
: just
|
l*********t
发帖数: 89 | 8 I cant. my idea is only based on empirical shape of vol.
【在 a********e 的大作中提到】
: can you show the implied vol is convex in strike theoretically?
: I don't think it has to be
:
: in
|
|
n****e
发帖数: 629 | 9 把local vol surface construct出来
如果construct不出来就说明有arb...
【在 j********t 的大作中提到】
: Given implied vol for all strikes, how do you determine if there are
: arbitrage opportunities?
|
a********e
发帖数: 508 | 10 volatility surface难道不是总能画出来？
【在 n****e 的大作中提到】
: 把local vol surface construct出来
: 如果construct不出来就说明有arb...
|
l***u
发帖数: 91 | 11 from dupire formula，you should work out the conditions where the implied
density is not negative. i don't think it's explicit though
【在 j********t 的大作中提到】
: Given implied vol for all strikes, how do you determine if there are
: arbitrage opportunities?
|
i***6
发帖数: 442 | 12 option的bid/ask spread那么大，哪来的arbitrage? |
m********0
发帖数: 2717 | 13 statistical-vol arb easy, quite some common combos
convertible-like put/call parity.
【在 j********t 的大作中提到】
: Given implied vol for all strikes, how do you determine if there are
: arbitrage opportunities?
|
h*y
发帖数: 1289 | |
