Completed
The average implied volatility surface variation (@)
Class Central Classrooms beta
YouTube videos curated by Class Central.
Classroom Contents
Option Pricing Bottom Up and Top Down
Automatically move to the next video in the Classroom when playback concludes
- 1 Intro
- 2 Option pricing bottom-up and top-down
- 3 The dassic bottom-up approach of derivative pricing
- 4 Time-changed Levy process as an assembly line
- 5 Drawbacks of the dassic bottom-up approach
- 6 A top-down perspective of option pricing
- 7 The top-down value representation
- 8 The top-down P&L attribution
- 9 Applying the no dynamic arbitrage condition
- 10 Common market pricing on separate risk estimates
- 11 A Ninear cross-sectional option pricing model
- 12 The average implied volatility surface variation (@)
- 13 Mean absolute pricing errors
- 14 Statistical arbitrage trading on the pricing errors
- 15 Market pricing estimates and risk portfolio returns
- 16 Concluding remarks
