Posts Tagged ‘ Black-Scholes ’

Pricing options on multiple assets (part 1) with trees

June 19, 2012
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Pricing options on multiple assets (part 1) with trees

I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. An with a matrix-based language (R for instance), it is extremely simple to compute almost everything. Even multiple assets options. Let us see how ...

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The only thing smiling today is Volatility

May 21, 2010
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The only thing smiling today is Volatility

With the stock market freaking out and all, I figured I should take a look at how volatility was being priced in the option market. The CBOE generously provides snapshots of market data for anyone interested to download. By using this data, we can calculate the markets ‘implied volatility’, or level of ‘freaking

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