Persistent Option Volatility by Roger Ison, Ph.D.
ARTICLE SYNOPSIS ...Stocks & Commodities V. 23:8 (14-20): Persistent Option Volatility by Roger Ison, Ph.D.
Do you really understand what your options model is
doing? Let's find out.
If you trade options, you know that mathematical
option models are essential tools and, generally, very good. Market makers rely on option models explicitly;
for example, at least one well-known broker provides tight, mechanically derived, online bid and ask prices for any option, and usually executes trades at their model prices instantly, without human intervention. Brokers' models can be quite sophisticated, taking into account ...