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Hi I need some complex help here, As you can see from my algo, i have a few parameters that i can input for backtesting. The maximum option price is basically the maximum pricing on the option that i'd like to buy. What i want to do is to incorporate calculating the premiums of the options based on the paramenters i've set (i.e expiry, volatility at 20 percent and riskfree at 1.5%) is there a way to calculate the RT options premium and let the algo use that as the maximum option price.
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Louis Szeto
Hi Yusuf
You need to set the underlying equity's volatility model +/- the option pricing model for the algorithm to return a option_contract.TheoreticalPrice field.
But there is no absolute “right” option price, since there are so many option pricing models and equity volatility models. :)
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Yusuf Salleh
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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