后三天培训_做市商系统设计_Mani_英文版概要1.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Pricing Component: Volatility Imply the volatility using option prices and other pricing inputs Options bid ask prices. You must weight the prices appropriately because some options are more important that others Spot price of the underlyer, yield curve, dividend schedule, times to expiry, strike range How to represent the volatility surface: an essential part is choosing the right state variable. Na?ve method: simple strike, K Moneyness Delta: Δ Non dimensional, time adjusted strike Pricing Component: Volatility Modeling the whole volatility surface Advantage is consistency and structure Drawback is lack of accuracy Modeling volatility by expiration Independent skew by expiration, no relationships across time, leaves room for calendar arbitrage More degree of freedom, better able to fit regions affected by supply and demand Volatility by strike model, spline models Parametric models implied from markets SABR model, SVI model, polynomial models, other models that correctly capture volatility dynamics Pricing Component: Volatility SVI model (Gatheral, 1999) SABR model (Hagan et al) Polynomial models Pricing Component: Volatility Modeling volatility term structure: adding structure to the volatility surface the expiry specific curves are “connected” through this term structure model. Its the 50Δ curve across time Start with a mean-reverting stochastic differential equation (such as the Ornstein-Uhlenbeck process and integrate it assuming that the long term boundary condition is μ Accuracy versus stability issues Measuring quality of fit What percentage of fits fall between bid/ask Difference between theo and mid as a percentage of bid/ask Deciding when to fit On a timer - On reference volatility surface shift On underlyer moves - On sizeable trades Issues close to expiration reduce number of parameter as you approach expiration Impose constraints on fitting scheme