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What are some of the modern methods used to price equity volatilities "the most accurately possible" when there are very few listed derivative prices available or even none at all? Do the pricers in those cases resort to volatility forecasting based methods using historical data? Or do they try to use some similar equities that have listed prices and infer something from that?

I would appreciate a few references to the state of the art of the methods that are being used today and/or introductory material to this problem.

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    $\begingroup$ @Quantuple the answer on that question indeed addresses my question perfectly, thank you and apologies for the duplicate. $\endgroup$ – BS. Jul 11 '18 at 16:54
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I am not sure about formal literature but this is what is usually done in practice.

  1. Typically all indices have very active IDB markets. So even if screens are empty (particularly for longer tenors), you have a gd idea of where the market is. Traders will fit their parameters manually via the flows coming in IDB chat.

  2. Stocks with no screens and inactive IDB are priced using a combination of beta to index implied vol + stock realized + up coming stock specific events + current inventory. This is primarily to facilitate dispersion trading where clients trade vol for a living and are more price sensitive. The other pricing requirements for say over-writers/retail structured products/directional clients typically matter less given that the margins taken on implied vol are huge.

This being said, when there are no screens, there is no state of the art.
Prices cross all the time.

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