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Bitcoin Options Live Snapshot Volatility Surface 1.0

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cdchavezq

cdchavezq

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cdchavezq submitted a new resource:

Bitcoin Options Live Snapshot Volatility Surface - Capture a live snapshot of Bitcoin options, build intuition from the Black–Scholes baseline, then fi

The Black–Scholes model assumes an arbitrage-free and perfectly efficient market. In theory, this means that if an option’s market price deviates from its theoretical price, traders could exploit the difference through arbitrage, quickly restoring equilibrium. Under such conditions, implied volatility would remain constant across strikes — exactly as the model suggests.

However, real markets are far more complex. Market makers may quote prices above or below the theoretical value due to...
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cdchavezq said:
cdchavezq submitted a new resource:

Bitcoin Options Live Snapshot Volatility Surface - Capture a live snapshot of Bitcoin options, build intuition from the Black–Scholes baseline, then fi



Read more about this resource...
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This is a very good start!
Some possibly pointers

1. What is best financial model for crypto (PDE, BS, Heston, jumps). Since you have done my ODE/PDE course, moving to numerics is doable.
2. Porting Python to C++
3. Have you tried SHG) as well as BGFS?
4. Setting up a (multi-developer) flexible domain architecture + design patterns (C++, Python).

@meowminimeow
@Paul Lopez
@APalley
@Andy Nguyen

@cdchavezq
 
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