New answers tagged

0 votes

Interpolation of term structure of implied volatility

There is a proper way to perform the IV term structure interpolation for a "continuous" 30-day implied volatility. Please refer to the steps below in the link: How to compute 30/60/90-day ...
KaiSqDist's user avatar
  • 1,102
0 votes

Volatility surface for futures options

The deterministic basis/rates case is simpler, as we can use the fact the forwards and futures are effectively the same product. Let $F(t,T)$ be the futures contract at time t for delivery at time T. ...
river_rat's user avatar
  • 980

Top 50 recent answers are included