Well, I have a model and I want to put it into practice... I am not doing delta-hedging. I am just doing buy-low-sell-high, and hold for 1...
Hi all, I've figured a model to express my view predicting future volatilities. What is the most cost-effective trading strategy to play my...
so this implied method doesn't work?
Why should it be 1 month LIBOR?
Why not "end of quarter"?
Shall I use Libor rate, or not? Why shouldn't I use my cost of capital, especially if I do replication, and BS is derived using stock and bond...
In fact I am not sure if I should use Libor or other rate.
I suspect they don't match instantaneously... esp. on rate cut day. That's why I want to do some experiment, but first of all, where can...
No, I am expressing my own view about interest rate. So I cannot use or "trust" the implied interest rate... So these are two different things...
You are trying to calculate option-implied interest rate? but I want an exogenous interest rate...
There are so many rates on that page. Are they updated immediately, say Fed cuts rate? Which rate shall I use?
You mean I should plug in "my cost of capital (as a retail level investor)" into the BS formula? Not Libor, not Fed rate, but my bank account...
where is the source? I just want to make my program automatically obtain that rate ...
In order to calculate the Black Scholes price of an option, I need the interest rate. Where do I find the most current (and hopefully daily...
Thanks dd4nyc. I think this is a brilliant idea. I do have some follow-up questions: (1) How far do these VIX data go back? (2) How...
Hi all, I post it here because actually I am simultaneously looking for data for both $SPX and the option on that... I signed up for...
Hi all, I studied the mysterious code for option symbols. I only need historical data for at the money call and put options on S&P 500....
Hi all, Could anybody point me to some good Matlab TWSAPI programs? I am familiar with Matlab and am planning to use Matlab to connect to IB...
How?
Sounds interesting. However, will it affect the overall performance? My goal is to train myself to be able to concentrate on important...
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