The nonlinear-optimization tag has no wiki summary.
2
votes
1answer
119 views
Implementing nonlinear optimization to find model free implied volatility using Matlab
I am trying to calculate model free implied volatility $\sigma_{MF}$ for a relative performance index using the following method:
$\sigma_{MF}^2=2\sum_{i} [\frac{C(T,K_{i})}{K_{i}^2} - ...
