Implied Volatility
Variance and volatility swaps are forward contracts on realized variance/volatility... varswaps/volatility swaps can be priced using replication strategy resulting in replicating static portfolio of call/put options for variance swap or dynamic portfolio of options for volatililty swaps... Following books cover both volatility modeling as well as volatility products... Gatheral - Volatility Surface https://www.amazon.com/Volatility-Surface-Practitioners-Guide/dp/0471792519 Austing - Smile Pricing Explained https://www.palgrave.com/gp/book/9781137335715 On Mon, 12 Feb 2018 at 21:57, Oleg Mubarakshin <oleg.mubarakshin at gmail.com> wrote:
Hi Chris, If you are looking for a number (not a smile or a surface) of volatility, probably a variance swap methodology can help you with it please start with it http://www.emanuelderman.com/media/gs-volatility_swaps.pdf if it fits - googling Kind regards, Oleg On Thu, Feb 8, 2018 at 8:42 PM, Christofer Bogaso < bogaso.christofer at gmail.com> wrote:
Hi, Let say I have an Option chain for a typical Equity underlying with varying Strike prices and for both Call and Put. Option chain is available for multiple maturities. Based on above information, I would require to come up with a single Annualized volatility (implied) number for the underlying Equity. Can somebody point me, how this can be done in practice? Any research paper, Weblink will be highly appreciated. Thanks for your time.
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Kind Regards,
Oleg Mubarakshin
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