# Questions tagged [implied]

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### Dupire (Local Vol with Imp Vol)

I am trying to implement a local volatility pricer using Monte Carlo and Dupire's equation in function of implied volatilities and I was told that first of all I have to check Dupire is well ...
1 vote
609 views

### Extrapolate Implied Volatility Surface

I have a moneynessratio-tenor volatility surface and want to extrapolate the implied volatility for moneynessratios > 150%. The volatility surface was downloaded for different points in time, so I ...
1 vote
370 views

### Plotting a CSA curve in QuantLib

IRS under a CSA Let's consider an example of Interest Rate Swap under a CSA. To calculate discount factors that can be used to discount cashflows in one currency, $C_{1}$, collateralized in another ...
221 views

### Why does the risk-free rate implied by put-call parity vary with strike prices?

Suppose I do the following: buy one lot of some underlying stock currently trading at price $S$, write a call with strike price $K$, earning some premium $C$, and buy a put with the same strike $K$, ...
1 vote
132 views

### Calibration of Heston using implied vol as $v_0$

I am looking at the difference if you calibrated the heston from market data using objective function minimisation. In scenario 1, I calibrate all the parameters from market data In scenario 2, I ...
66 views

### Implied vs historical volatility in option pricing

I discussed recently with a trader who told me that put options are priced using historical vol, and call are priced using the implied one. My guess would be that as the put option market is much more ...
1 vote
376 views

### using bid ask prices to imply bid ask volatilities

Let's say i have bid / ask feed of an option prices (across strikes and expiries, calls and puts), what is the accurate way of implying out vols from these bid / asks For eg; to get the bid vol, ...
102 views

### basic numerical integration question related to case of high positive volatility skew

is the below equation true irrespective of if that 2nd derivative turns out to be negative or >1 , (ie even if theres an arbitrage) ? the reason i ask is that i am writing a single asset montecarlo ...
1 vote
87 views

### How to measure accuracy of SABR volatility surfaces?

I would like to test how accurate are SABR volatility surfaces with respect to historical volatility over a given time period and for a specific equity index. Reading a few papers I realised that one ...
277 views

### Implied Volatility Models

I am doing a research project and writing about volatility modeling. The three broad basis I am covering are Historical volatility, Implied volatility and stochastic volatility. It is my aim to code ...
105 views

### Black Standard Deviation in QuantLibXL

I was having a doubt about a fucntion in the QuantLib add-on for excel. What is the formula for the function: qlBlackFormulaImpliedStdDev(...) I know that there ...