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Results tagged with implied-volatility
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user 24603
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.
1
vote
Volar Higher Order Parametrizations
The formula for S3 volatility curve is explicitly given in one of the presentations on Vola Dynamics website. In fact, it is functionally equivalent to SSVI curve. BTW, the company name and the websit …
1
vote
Non-Trivial ATM Volatility in Vol smile construction from Market data on US Equities
The standard way is to fit to a parametric curve and then sample the curve at the strike of interest.
In order for call and put vols to match you need to have the correct forward. Finding the appropr …
0
votes
W-shaped Event Vol and Butterfly Arbitrage
Local volatility (LV) must be positive. The expression for LV in vol space can be found here on page 10.