Calculate theoretical option prices with IV smile and smooth out mispriced options
$200-500 USD
Maksettu toimituksen yhteydessä
I'm looking for help with calculating theoretical option prices that include IV smile, and smoothing out existing option chains. This may require using recent pricing models that are utilized by quants and market makers, not basic Black Scholes. Please see attached example screenshots showing invalid option prices (due to indvidual bids & asks) that need to be smoothed out.
The goal is to estimate marketable option prices that market makers may be willing to accept, or that could be hedged properly if I were an MM.
I program in C# and will need code written in C#, VB or VB/Excel, so that I can convert it to C#.
Projektin tunnus: #28924121
Tietoa projektista
9 freelanceria on tarjonnut keskimäärin $323 tähän työhön
Calculate theoretical option prices with IV smile and smooth out mispriced options I have 12 years of experience in the Writing Industry and I can provide you “SUPREME QUALITY WORK” within your “GIVEN DEADLINE” with “P Lisää
Calculate theoretical option prices with IV smile and smooth out mispriced options I assure you quality work as per your given deadline. I can provide you with a guarantee of plagiarism free work. I am producing qualit Lisää
I have worked for a fintech company earlier and will be glad to take up this project. The bid and delivery timeline is only indicative. I will be happy to share further details privately.
Few questions, how do you want to fetch and display the data, querying from IB? It's written in Java, so a small Java app might be the best solution, would be native to IB and work fast. If you already code in C#, unde Lisää