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Results tagged with implied-volatility
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user 17133
The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
8
votes
1
answer
550
views
SVI negative rates
I've used the SVI model in the past for equity option which worekd quite well. I came across a post on Wilmott where someone said hes using SVI for swaption as well. I would like to test the model and …
- 1,770
10
votes
3
answers
831
views
clarification to use collocation methods to get arbitrage free sabr
I'm reading the following two papers (first, second) which suggest a so called "stochastic collocation method" to obtain an arbitrage free volatility surface very close to an initial smile stemming fr …
- 1,770
7
votes
Accepted
SABR Calibration: Normal vs Log-Normal Market Data
I think you did something wrong in translating the input to numerics. As pointed out by dm63 normal vols are quoted in basis points.
Using equation A.67a) from the Hagan paper you linked we see (set …
- 1,770