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Looking at the implied vol surface derived from the market, the shortest available being 1 month, what are suitable interpolation/extrapolation methods for modeling the surface at maturities < 1 month? … I've seen suggestions that at small time there are closed or near-closed asymptotic expansions for IV, would it be possible to use this as a point and some form of spline interpolation? …
asked Nov 20 '13 by user5980