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I noticed that there is quite a high spread between Implied Volatiliy of Put and Call Options featuring same Strike and Expiry if the underlying stock pays dividends. Regarding this inaccuracy I have two questions:
1) Am I correct that LeanEngine assumes zero dividend by default for calculating Implied Volatility?
2) I noticed that there exists a Class for a constant dividend: "ConstantQLDividendYieldEstimator". Is there an already built-in way to pass a constant dividend to "OptionsPriceModels" to enhance Implied Volatility accurracy?
Thank you very much for your help!
Derek Melchin
Hi Hans,
(1) Yes, all of the option price models use the ConstantQLDividendYieldEstimator which has a default `dividendYield` of 0. This is the estimator used to compute the IV. See the source code for reference.
(2) At the moment, it's not possible to modify the available option price models.
Best,
Derek Melchin
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Hans Bete
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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