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re: Options data analysis -- need help
Posted on 12/13/13 at 10:05 am to Tigahs
Posted on 12/13/13 at 10:05 am to Tigahs
volatility surface, sticky strikes and options skews vs forward curve of futures is where you should begin...
heston model (or other stochastic volatility models) w/ matlab is better direction to go...
quote:
using black sholes
quote:
goal seek macro
heston model (or other stochastic volatility models) w/ matlab is better direction to go...
Posted on 12/13/13 at 9:40 pm to William Stephenson
Solid advice, started looking at volatility surface against the underlying forward curve (though will probably use the in-house futures forecast I developed for this particular exotic commodity. Thought of incorporating the black-shole volatility calc fixes but the quants said it wasn't necessary given the lack of market depth, small market size (regional) and illiquidity of the options contract for this particular commodity
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