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Different methods exists to compute implied vol from the same option prices, eventually it's prices that matters to calibration. But if you can reproduce same option prices accurate to the cent by fitting implied vol, I think it doesn't matter.


There's no best method. The question is : what is the behavior of the volatility structure (atm and skew) when the underlying moves? Each method assumes something different. In the real market, one method might work well for a period of time (in the sense that it minimizes residual p/l), but then another method might take over as best. Practitioners ...

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