The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
6
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3answers
306 views
Parameters for pricing option on EDF
Ladies and Gents,
Im writing a quick routine to calculate implied vols for options on EUR$ futures with Bloomberg data. My question concerns the part where I have all my inputs and am ready to pass ...
4
votes
2answers
555 views
Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
I'm looking for an implementation of Arbitrage-Free Smoothing of the Implied Volatility Surface - Matthias R. Fengler.
Does anyone know of any existing libraries that have implemented this paper? Any ...
3
votes
0answers
164 views
What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying?
Curious as to whether or not there is any sort of all time record. Any index, future, or stock will do. Volatility must be well above the average 1 year volatility for all periods.
