Timeline for Delta Volatility Surface Usage to value the option
Current License: CC BY-SA 3.0
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| Oct 17 at 1:02 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
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| Sep 27, 2022 at 20:11 | answer | added | AKdemy | timeline score: 0 | |
| Nov 7, 2015 at 10:22 | history | edited | user1131338 | CC BY-SA 3.0 |
deleted 50 characters in body
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| Nov 6, 2015 at 14:40 | comment | added | user1131338 | Hello Brian, Appreciate reading me question . The value an option Black 76 model requires (K,S,r, Vol, t). All the parameter are available except implied vol. Bloomberg publish the delta vol. surface.My question is how would i know what delta should i use to fetch the Vol from the delta vol. surface because the Delta Greeks also required implied Vol . Can i use the at the money vol to work it out the delta and search the Vol from the delta vol. surface. | |
| Nov 5, 2015 at 14:23 | comment | added | Brian B | This question is rather unclear; I cannot tell what it's really asking. | |
| Nov 5, 2015 at 4:43 | history | asked | user1131338 | CC BY-SA 3.0 |