Some equities on European markets have options traded in two different exercise styles: American and European.
Consider constructing volatility surface for given equity with two set of options, when for each expiration/maturity there are two corresponding IV points (from European and American options respectively.)
How one in this case would construct the surface and what is the reasoning?
- Using only one set of options (either European or American), chosen by some parameter (total volume, open interest, etc.)
- Combining both sets
- Something else