Discussion in 'Options' started by Teddy, Jun 21, 2016.
Has anyone trading using the CEV model and how does this compared with Black Scholes Model?
Funny you mentioned that. I was just messing around comparing various option pricing models today. Here's a site that calculates option prices using CEV and Black-Scholes:
I've seen that already.
The reason that I ask is because it did not seem to ever matter for any of my trades to be significant. The excepting for XOM which it never made any sense other than with CEV. My XOM would have a +ve delta and when it went up I loss money. When I had a -ve delta, it made money when it went up. The vega was -ve, but it just wouldn't do that daily when you watch it. When I used the CEV model, I was able to see that the difference was significant. What was -ve delta on Black Scholes was a +ve delta on CEV.
I just don't know if there is other experiences that folks have noticed, say on the indices, and whether the difference was meaningful or necessary.
Separate names with a comma.