Calculate theoretical option prices with IV smile and smooth out mispriced options
Presupuesto $200-500 USD
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#.
10 freelancers están ofertando un promedio de $325 por este trabajo
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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 Más
