I always find myself in the unknown charted territory when it comes to non-Linear Instruments. I come across the scenario, How to value the option using Delta Vol surface?
I have CME traded Soybean option(900 strikes, Underlying traded future (spot) trading at 880 USD-cents/BU) with dec maturity and delta surface from the Bloomberg.
a) I need to plug out implied volatility from the delta surface and Plug back into the same vol into Black-76.Ho should I go about it. Delta greeks need Implied vol. as input. It is chicken and egg story.
b) If for the same option I need to work it out the historical VaR. How should I calibrate my delta surface to calculate the historical VaR.
Your responses on the concern will be appreciated.