Tagged Questions
0
votes
2answers
221 views
Why the implied volatilities calculated are so different
I Calculated facebook option(expired in 12/4/13) Implied Volatility with the Bisection Method. The program will be attached at the end. The results for different strike prices are so different:
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0
votes
1answer
69 views
volatility Table and BS formula
assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"?
I am ...
7
votes
5answers
2k views
How do you explain the volatility smile in the Black-Scholes framework?
Does anyone have an explanation for the currently naturally forming volatility smile (and the variations) in the market?
1
vote
1answer
388 views
What precision do I need to calculate implied volatility?
I'm developing a software to calculate the implied volatility of an option using the Black & Scholes formula and a trial-and-error method. The implied volatility values I get are correct, but I ...
5
votes
2answers
837 views
How to extrapolate implied volatility for out of the money options?
Estimation of model-free implied volatility is highly dependent upon the extrapolation procedure for non-traded options at extreme out-of-the-money points.
Jiang and Tian (2007) propose that the ...
