# pricing with implied volatility surface

I am a newbee in Quantive finance.

supposing I calibrate a smoothing implied volatility surface with cubic spline now.

A minute later I want to price K=100,t=1 option, can I just find the point on the volatility surface which K=100 and t=(1-1/24*60*360)?

Many thanks.

• Can you clarify what do you mean by: t=(1-1/24*60*360)? If it is a minute later the observation K=100, t=1 should be close enough – phdstudent Dec 3 '15 at 10:45
• @volcompt actually I don't know how people using market data to get implied volatility and then use this to price vanilla. Yes, we can use it to calculate the illiquid strikes, but as far as I known,market makers using this to price liquid strikes – Tim Dec 3 '15 at 14:14
• @Tim, "to price" here is a bit misleading. If there is a market, there is a price. Fair value may be a better term, but really all this is for the purpose of hedging - delta, and gamma through inventory management. – onlyvix.blogspot.com Dec 7 '15 at 17:41

• It appears that you need to make choice between sticky-strike and sticky-delta. Under the sticky strike, you do not take your new spot into consideration and look up the volatility based on the strike. Under the sticky delta, the new strike used for look up the volatility can be set to $\frac{K}{S_{new}}×S_{old}$. – Gordon Dec 3 '15 at 15:30