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Results tagged with volatility-smile
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user 24603
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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 …
1
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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 …