New answers tagged implied-volatility
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Binary option pricing under geometric brownian motion
If an asset did indeed follow ln(St) ~ N(ln(S0)+ut,s2t), then a binary option on it would go to 0.5 as s->∞. However, such an asset would have E[St]=S0eut+s^2*t/2, so as s->∞, E[St]->∞, ...
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When to use a Local Vol model vs Stochastic Vol Model?
First, what is the SLV? It combines LV (not really a model, just uses vanilla surface to get a grid) with SV (in a nutshell, BSM with a separate stochastic process for vol, hence multiple dynamic ...
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Accepted
ATM Implied Volatility and Expected Variance
I am not so sure about the ATM approximation from the other answer (i.e. I don't think it's a great approximation). I think it comes from the following for $T \ll 1$:
\begin{align}
E \left[ \frac{1}{T}...
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implied volatility and strike price
Notations:
$T,K$ are the maturity and the strike of a vanilla call of price $C(T, K)$.
$(S_t)_{t\in [0,T]}$ the price process of the underlying.
$\mathbb{Q}$ is the risk neutral measure.
$x(T,K) = ...
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Model-Free Implied Volatility: Data of Expired Options and Bond Price
With BBG, you can use OPT_CHAIN (on FLDS - hence Excel) using SINGLE_DATE_OVERRIDE with a date in the past in YYYYMMDD format to get tickers back until 2012.
2000 is generally possible, but not ...
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Help needed in replicating FX Implied Vol Surface
You still did not post your exact formula, which means it's impossible to determine what is wrong. Therefore, I'll post a working example.
I used Julia and manually defined the ppf. This is ...
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Accepted
Calibrate the SABR model to the implied volatility surface
> However, I'm wondering if it is possible to just calibrate the SABR parameters to the entire volatility surface
No, this is not how it supposed to work. SABR model describes dynamics of a single ...
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What is the meaning of an implied volatility of an Asian option?
Practitioners use Monte Carlo methods, the moment matching method (Levy approximation) and when they want to be super-precise, the Curran method.
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