Message-ID: <CAHRBD=azcK+YcSs8Q5NfQmVA1QFPxp4prGxwO2uz7O5FoS5WLg@mail.gmail.com>
Date: 2018-02-08T21:18:38Z
From: Josh Segal
Subject: Implied Volatility
In-Reply-To: <CANAs1dGXYBjboB3M4NuJ1ZJNBKXTAoqKUYvg1zr7TVNs2yGpVw@mail.gmail.com>
Well there is also "Model-Free Implied Volatility" which is computed for
each expiry from all available strikes. That may be more relevant,
depending on what your goal is.
See for example: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2220067
On Thu, Feb 8, 2018 at 4:02 PM, Slavo Matasovsky <slavo.matas at gmail.com>
wrote:
> Hi,
>
> Implied volatility is model based volatility. Due to the shortcomings of
> the Black Scholes model there are in fact multiple implied volatilities on
> the same underlying, one implied volatility per strike and expiration.
> Typically one would be interested in ATM IV - at the money implied
> volatility for a given expiration. IV is calculated from raw bid/ask option
> prices using Black Scholes model (inverse problem). For missing option
> prices IV can be interpolated, typically using parameterized SABR model.
> I?ll gid out few pdfs and send you over.
>
> Slavo
> On Thu, 8 Feb 2018 at 21:42, 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.
> >
> > _______________________________________________
> > R-SIG-Finance at r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> > should go.
> >
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
[[alternative HTML version deleted]]