New answers tagged volatility-interpolation
1
vote
How to interpolate volatility's skew using spline in Python
Use linear interpolation/extrapolation:
You are overfitting your volatility surface if you use a Cubic spline, hence giving you negative values for large strikes. In order to avoid this, you can ...
- 4,108
Top 50 recent answers are included
Related Tags
volatility-interpolation × 15volatility-surface × 7
implied-volatility × 6
interpolation × 5
local-volatility × 3
volatility-smile × 3
extrapolation × 3
volatility × 2
fx × 2
option-pricing × 1
programming × 1
black-scholes × 1
market-data × 1
reference-request × 1
valuation × 1
delta × 1
sabr × 1
quote × 1
parameter × 1
smile × 1