# Questions tagged [volatility-interpolation]

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### When getting the local vol surface from the implied vol surface, do we interpolate the strikes?

Using the dupire method: \sigma(T, K)=\sqrt{\frac{\sigma_{\mathrm{imp}}^2+2 \sigma_{\mathrm{imp}} T\left(\frac{\partial \sigma_{\mathrm{imp}}}{\partial T}+(r-q) K \frac{\partial \sigma_{\mathrm{imp}}...
• 99
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### Interpolating the volatility cube of European Swaptions

I'm in a situation where I have a cube of European swaption volatilities (normal volatilities), which contains only scattered data. Since it is three dimensional (Tenor, Term, Strikes) I'm having a ...
• 161
1 vote
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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 ...
• 170
1 vote
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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 ...
• 863
1 vote
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 ...