Risk 1 - Hans Buehler
Risk 1 - Hans Buehler
Risk 1 - Hans Buehler
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Modeling <strong>Risk</strong> – Local Volatility<br />
Recall: Pricing with Skew<br />
0.7<br />
Skew Impact on ATM Digital Puts (95-105 skew @ -5%)<br />
0.6<br />
0.5<br />
0.4<br />
0.3<br />
0.2<br />
0.1<br />
0<br />
Digital<br />
Put Spread 0.01%<br />
Put Spread 0.1%<br />
Put Spread 0.5%<br />
Put Spread 1%<br />
1w 1m 3m 6m 1y<br />
25
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