Commodity Implied Volatility Filtering and ExtrapolationVolatility is implied from publicly available information at closing time. For strikes far from the money, information may be fragmentary or liquidity insufficient, resulting in potentially aberrant prices for certain strikes or aberrant extrapolations outside the interval of quoted strikes. Some form of fitting needs be applied to the implied volatility in order to correct local aberrations. This is currently in progress. Commodity Barrier Products Sensitivity to the BarrierAmerican-type barrier options are valued in a tree. The granularity of the tree determines the granularity of the price/barrier sensitivity. Without smoothing, the price as function of the barrier has a "staircase" form. Implementing such smoothing in barrier-valuation trees is currently in progress. Barrier Options maturing on the Valuation DateAn exception is returned for barrier options maturing on the Valuation Date. Correction in progress. Asian Options inside their averaging period / current forward rateThe current average is estimated using call/put parity on available average option prices. When no reliable Call and Put quotes at the same Strike are available, the current average is not correctly estimated, leading to inaccurate prices for the front Asian Option contract (the one inside its averaging period). Correction in progress.
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Derivatives 2011
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