Category: Skill

You can download the code via this link https://github.com/mypersonaltrading/VXXVXZ Valuation Methodology The model used is binomial tree options pricing model, similar to the one used in pricing an American option. First, we use Nelson Siegel model to extrapolate monthly short rate and volatility of a 30-year mortgage. Next, we calculate the cash flow assuming no…

I use Black Scholes pricing mode as it’s used in European options style which is what SPXW options pricing is based on. The excel file I use could be found at the bottom of the page. Assuming you’re already familiar with Black Scholes options pricing model, I will briefly explain the process. The detailed calculations…