Option Pricing / portfolio hedge策略讨论

nautygirl

你指的OPTIONS是说EQUITY OPTION的CALL/PUT吧？
据我所知，每个银行内部是用不同的PRICING MODEL，而不是建立在B/S的理论价格之上的。这个PRICING MODEL银行的人也不停地根据MARKET PRICE进行调试，为了尽量让定价与市场价的误差减小。
在NEGOCIATEUR对TRADER询问价格的时候，每个TRADER根据自己手里的PORTFOLIO POSITION和对市场的预测可以有一定幅度的MARGIN。所以造成了HSBC，BNP，SG对同一产品报价都不同，当然也只是相差毫厘，要不就有ARBITRAGE。
B/A SPREAD似乎是有行内不成文的约定，定个基本范围。然后也是TRADER自己拿捏手头的POSITION喊价。
这是我的理解，如果有不对的地方，请大家修改或补充。

ericdong

一般都是每个银行用自己的模型定价的，不同的产品不同的银行对于delta, vol, theta, gamma 都有不同的偏好的，用不着你去考虑的，一般都是bac+8以上的人做好的了。
不同的model 也要看不同的产品应用了，我也是猜测中，反正B S 不是那里都适用的，它的适用条件太严格了。个人觉得BINOMIALE会多用些。。。。  不了解详情。
市场里的bid ask价格的spread 能反映market maker对于市场的看法，如果spread太大了说明人家不想trading, 同时也要保证delta neutral , gamma positive， 很难的，所以它对于不同的underlying 的价格区间不一样，给出的时间也不一样，特别是single stock option 会更加困难的，时间也更慢。

以上只是option vanilla, 如果是exoitic 会相对更复杂了，看你的structuation 的结构重点。

ericdong

according to the b and s model, we could get the imply vol from the bid and ask price at the market.

From the historical underlying quotation , we could get the historical vol.

different financial dest have different favorite element like volatility , gamma, delta etc.  It depends on also your portfolio position .....

but the differnce between historical vol and imply vol could reflect the market potential movement, very interesting

dachec

For FX market, vol is quoted in deltas (risky and flies). Implied mid ATM vols are the same among major market makers because vanilla is so liquid (for liquid ccy pairs) these days. Bid/ask spread is always managed differently in different makers depending on the global strategy (not only for FX desk but also gloablly for fix income and currency desks)

ericdong

I almost forget vol smile chart which we learned from school. Well, it is always better to discuss for a good understanding...

Seems to me that there is a risk reverso issure when talking about FX option, right Dachec?
The risk reverso could give some advantage or favorite for deltas of the call or put ?  Market makers give different bid and ask depends also the risk reverso?

dachec

I know in some banks they calculate fractional daily vols by setting different weights on different dates/trading centers. Meanwhile, jump diffusion model might be also applied in pricing short-expiries. I am talking about forex market, but equity index should be similar as well. When your underlying is illiquid, higher hedge cost will incur higher vol + spread.

ericdong

the better way to get an acceptable bid - ask price is ask the quote for several market makers in the same time.  There are severals in Armstertand, Netherland or try the guys in City.

Otherwise, you could find a index broker like calyon financia, fimat etc.... Let them work for you to have a block trade OTC

ericdong

大家有看过delta用option来做的马？
没看懂，你指的是以option的delta为标的资产的option吗？没听说过，只知道有用vols做underlying的.
I do not understand the question!  It could be crazy for an option with underlying in delta!
Yes, there is a type of option based on vols, like vix etc..  It is a good tool for risk management and trading.

Well, as you said, glenn001, the market is small , no much liquidity , monopole market maker.... then you do not have too much choice...
Alternatively, I guess, you could try to find some ETFs in the market, try the hedging.
Otherwise, some sub index could be helpful. For instance, barcalys has lots of sub index..

It is always an interesting topic to hedge postion in an alternative way.  Could we disscus that further after new year? ( Perso, back for China tonight )

Meilleurs voeux pour 2008