Modeling Approaches to CSO Option Pricing:
Modeling Approaches to CSO Option Pricing was presented live on Thursday, August 16th. During this presentation, we discuss the concepts involved in pricing a calendar spread option (CSO). Taking an example from CME Group cattle futures data, we cover the problems introduced by having negative prices and the importance of correlation between the futures legs. We also survey some commonly used CSO pricing models.
Meet Your Hosts:
David Hrencecin is the Director of Quantitative Analysis at OptionsCity. He brings an extensive background in pricing and risk management to the conversation. Before joining OptionsCity, David was the Head of Research at DRW, a leading options market maker, and he also worked at QRM where he developed models for enterprise risk management.
Jim Abbott offers a trader’s perspective to the OptionsCity business development team. He has over 17 years industry experience as both a market maker on the CBOE floor and as an electronic screen based trader, trading both equity and index based options.