I have smile data which looks like this,
but after converting the vol points to prices using black's model, i got something like this,
is this expected?
I was expecting the shape of the smile to be retained. What am I missing?
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Sign up to join this communityI have smile data which looks like this,
but after converting the vol points to prices using black's model, i got something like this,
is this expected?
I was expecting the shape of the smile to be retained. What am I missing?
if you use put-call parity to make them all calls, they should be monotone decreasing, and convex. I wouldn't expect them to look like a market smile.