FinTech has evolved from startups that want to take on and beat incumbents, to a broader ecosystem of different businesses looking in many cases for partnerships. FinTech startups don’t just need capital, they need customers. At the same time, incumbents need new approaches to drive change and deliver innovation.
Risk-Neutral Skewness and Kurtosis: See this post for R code to calculate model free implied volatility. Let stock price return for period is given by: (1) The price of the volatility contract: (2) The price of the cubic contract: (3) The price of the quadratic contract: (4) Define : (5) For -period model-free implied volatility (MFIV) is: (6) […]
Following code downloads option price data for a day $d$ from NSE website and plot volatility smile 🙂
The code below can download daily bhav for Futures and Options from the NSE website. I have also include sample code that downloads indices level from the National Stock Exchange