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November 1st, 2005 by eyal | Filed under General rant. |
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Ever wondered why Institutional traders trading options have an advantage? I bet it has something to do with this sort of analysis tools:
Could some please explain to me the details of exactly how the skew delta is calculated for FPLV models. The delta on the UBM reverse cliquet seems a bit high, and I wanted to check the methodology. My expectation is that the skew delta is computed in a way that assumes that fixed strike vols are constant.
- Extract from an email
C’mon, the skew delta on the UBM reverse cliquet is trading 101.
Sorry me no speak delta-ish.. ;)
I wonder if someone out there does understand the full para if you could shed some light..?