# Questions tagged [volatility-surface]

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### Volatility Surface Modelling in Python

For my master thesis, I try to create a Volatility Surface for S&P500 Index options. Every time I run my code, the surface I get is full of spikes. I'm just not sure if these are outliers which ...
59 views

### Interpolation of term structure of implied volatility

I have a dataset of options traded at each day, including the time to maturity, delta, strike price etc. Now I want to get the implied volatility of an option with time to maturity 30 days through ...
88 views

### Volatility surface for futures options

When looking at futures options such as CME's Gold options or many equity index futures options, the underlying is not the index but to be precise the closest to delivery futures contract. That means, ...
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1 vote
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### Functional From to Approximate Volatility Surface

I have a finite difference pricing model and would like to factor in a volatility surface for each underlying equity. However, I have limited data. Essentially I'm just pulling a few implied ...
56 views

### What are some effective and easily implementable volatility smile/skew smoothing models?

Inspired by another post on Bakshi et al. (1997), the paper talks about the feasibility of option pricing models, particularly the SVSI-J variant. I would like to ask the Quant community if there are ...
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29 views

1 vote
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### How can I derive the price of american options given the european options prices? [closed]

I have the european volatility surface of a given asset. What is the correct procedure to compute the price of the options with american exercise type?
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154 views

### Quantlib Monte Carlo using regular Volatility Surface, not Local Volatility surface

I am trying to run a Quantlib Python Monte Carlo simulation using either the ql.BlackScholesMertonProcess or the ql.GeneralizedBlackScholesProcess. I have a vol surface that I have generated using ql....
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1 vote
669 views

### Implied volatility to local volatility via Dupire

I am doing some self study on stochastic local volatility modelling and am having a hard time replicating some results from the paper "FX Option Pricing with Stochastic-Local Volatility Model&...
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507 views

### Quantlib vol surface issue 'the black vol surface is not smooth enough'

I create a vol surface from the market and do smoothing(interpolation and extrapolation), and explicitly correct for any total variance decreasing on a given strike as we increase maturity. I create a ...
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