Questions tagged [volatility-interpolation]
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how to interpolate and extrapolate the local volatility surface?
Local volatility can be computed in terms of call prices using Dupire's formula. Assume we have a rectangle call price surface, let's say $I = [30,60]\times[1 day, 1year]$.
For interpolation, should ...
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Dividend adjustment on SABR formula for interpolating implied volatility
We are using a SABR model to interpolate the implied volatility surface.
The model yields a formula for implied volatility that contains the following term:
$\ln \left(\frac{K}{F}\right)$
It is ...
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spline Interpolation on volatility surface not smooth
I am testing spline interpolation for volatility surface with Matlab griddedInterpolant function with spline as interpolation and extrapolation method.
Here is the original data I used to do ...
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Interpolation of SVI Implied Volatility in parameter space
I am currently working with a slice-wise SVI parametrisation of the implied volatility surface.
$\sigma^2(x,t) = a_t + b_t (\rho_t (x - m_t) + \sqrt{(x - m_t)^2 + \theta^2})$
Does anyone have ...