What do option models look like at a quant shop? Are the models just variations of the BS model? Are you estimating vol to find undervalued options or is there more going on here? What does a quant do that focuses on options?
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They use different models than BS.
They generally try to find mispriced vol or mispriced dispersion and then try to run a book that is delta neutral and potentially neutral to some of the other Greeks while still having exposure to their idiosyncratic mispricing.
thanks for the insight here, do you have any recommended reading material?I am currently reading Hull but would love more resources.
Msg me I’m happy to help out. I know a lot of top options PMs along with trading options a lot myself.
Bump. Would be great to get in touch too.
Same here. Any resources greatly appreciated thanks
Sure msg me.
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