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Opra outages cause consternation in options markets

UBS warned clients they were looking at “bad data” on options screens

Options price reporting authorityUnited states usOperational riskTrading systemsMarket dataOption pricing

Skew this: taking the computational burden off basket options

Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant

Julius baerMonte carloValer zetochaDan pirjolMarco avellanedaStevens institute of technologyStevens instituteBasket optionsOrst of basketsVolatility skewOption pricingImplied volatilityVolatility smileVolatility surfaceLocal volatility models

Smile-consistent basket skew

An analytic approximation for the implied volatility surface of basket options is introduced

Monte carloMarco avellanedaLaurence wangDan pirjolBayer laurenceStevens institute of technologyCommunications in pureCommunications on pureStevens instituteApplied mathematicsStatistical computingAdvanced methodsOption pricingFinancial mathematics seriesBasket optionsLocal volatility models

Papers by Martin Scheicher

Papers by Martin Scheicher

Czech republicMonte carloSmall stock exchangeInternational journal of finance economicsFinancial stabilityFinancial economicsNonlinear dynamicsFutures marketsOption pricingPortfolio managementVersus time series based volatility forecastsAustrian stockStock marketsVarying riskGerman stockSmall stock

The following discussion and analysis of our financial condition and results of operations should be read in conjunction with our accompanying consolidated financial statements and the related notes. | March 24, 2023

United statesMonte carloSmall business administrationFresenius medical careHunter merger sub incSilicon valley bankHumacyte incAmerican institute of certified public accountantsSmaller reporting company statusDevelopment expensesInnovation credit fundTcompany equityNasdaq stock marketHumacyte global incGrowth companyCalifornia institute of regenerative medicine

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