Implied Volatility
Check out Jim Gatherals web site for the implied volatility modeling approaches including latest Rough Volatility models... https://mfe.baruch.cuny.edu/jgatheral/ http://faculty.baruch.cuny.edu/jgatheral/ImpliedVolatilitySurface.pdf https://www.amazon.com/Volatility-Surface-Practitioners-Guide/dp/0471792519
On Thu, 8 Feb 2018 at 22:02, 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.
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