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.
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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 ...
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Numerical difficulties in fitting option prices
In [1], the authors state that "Although some studies apply the curve-fitting method directly to option prices, the severely nonlinear relationship between option price and strike price often leads to ...
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Volatility Index Weighting Scheme
Among the several weighting schemes used for constructing volatility indices, which ones are the best for forecasting (realized) volatility? I've constructed a volatility index for emerging markets ...
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Getting the actual distribution of a stock price at time T using implied volatility [duplicate]
Possible Duplicate:
How to derive the implied probability distribution from B-S volatilities?
Let's assume a stock price S, with volatility $\sigma$ constant, no dividend, and risk free ...
