# Questions tagged [volatility-smile]

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### Help needed in replicating FX Implied Vol Surface

I am relatively new to this area and am doing some self studying on SLV model. I am however getting stuck on trying to replicate this implied vol surface (which I will use to calculate the local vol) ...
1 vote
86 views

### Deriving vol of vol from volatility futures price

From Colin Bennet's trading volatility (pg 117), he says: "A forward on a volatility future is short vol of vol. This means it is possible to back out the implied vol of vol from the price of ...
23 views

### Approximating SPX index skew using PutDex & CallDex

I hope someone can help me with this. As I don’t have access to historical options data I am wondering if it is possible to deduce SPX options skew from various volatility indices - in particular ...
47 views

### Vanna-Volga consistency result

In the Vanna-Volga (VV) paper by Castagna and Mercurio they state that, once you build up a curve of prices by interpolating-extrapolating on $K$, you can recover the same exact curve by redefining ...
• 302
57 views

### SABR LMM for RFR

Is there a research showing a way to use SABR LMM with new RFRs such as SOFR, i.e. pricing exotic path-dependent RFR derivatives with volatility smile and skew? I'm aware that Looking Forward to ...
• 301
1 vote
134 views

### Market models of implied volatility and no arbitrage

Something has been bugging me for a while, and I can't really find an answer to it in papers. Maybe somebody can help me out. In addition to modelling the instantaneous vol, or modelling forward ...
• 4,789
51 views

### Expectation of Product of two European Option when vol smile exist

Currently I'm thinking about how to calculate the expectation of the product of two euro option, which is $E[(S_T-K_1)^+(S_T-K_2)^+]$ I can fit some parametric vol model from the market listed option ...
44 views

### "Back-Transforming" Smile Strangle into Market Strangle

I was wondering on whether FX vol experts here can comment on the following question: Suppose I have a properly stripped FX vol surface, which I constructed from ATMs and by market standard ...
• 553
46 views

### The relationship btwn RV-IV and realized skew

In studying skew I've been advised to focus on understanding on components that affect it. One such component that's been recommended to me is the relationship btwn RV-IV and realized skew. ...
154 views

### Calibration of a volatility smile model on a partial smile

I'm using a well-known SABR model in order to build an implied volatility surface of caps/floors on a very illiquid market which is entirely missing OTM quotes. What happens to SABR implied smile/...
• 301
1 vote
80 views

### How to calculate the strike for a sticky delta volatility curve

I am sourcing the implied volatility for pricing the option. I am getting the volatility against delta but not the strike amount for those. How do I convert the delta into the strike to find the right ...