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7
votes
2answers
4k views

What causes the call and put volatility surface to differ?

I currently have a local volatility model that uses the standard Black Scholes assumptions. When calculating the volatility surface, what causes the difference between the call volatility surface, ...
7
votes
2answers
1k views

Recommendation for a library to calculate the local volatility surface?

I'd like a library to calculate the options local volatility surface, i.e. the options implied volatility surface for a collection of strikes and their bid/ask prices. Here are the libraries I've ...
2
votes
1answer
244 views

Local volatility SVI parametrization

In this paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$ for each slice $k \mapsto w(k,T)$: $$ w(k) = a + b\{\rho (k-m) + ...