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A general question for interpolation method for implied volatility between tenors. I've recently stumbled accross a dataset from http://www.math.ku.dk/rolf/Svend/, and I would like to interpolate the volatility surface, in order to try and make a delta-hedge expirement. However, I was wondering what interpolation method is best to use. In general I was considering if bi-liniar interpolation is the beth methods, but does anybody have any guidance in what to use?

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  • $\begingroup$ your link doesn't work $\endgroup$
    – econmajorr
    May 8, 2021 at 18:50

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A cubic polynomial curvature would be the most simple one.Otherwise,many practitioners are actually using a Gaussian process interpolation,which is more sophisticated.

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  • $\begingroup$ What is / do you mean with a Gaussian process interpolation? $\endgroup$ May 10, 2021 at 9:47

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