[R-SIG-Finance] Implied Volatility

[Slavo Matasovsky]

Hi,

Implied volatility is model based volatility. Due to the shortcomings of
the Black Scholes model there are in fact multiple implied volatilities on
the same underlying, one implied volatility per strike and expiration.
Typically one would be interested in ATM IV - at the money implied
volatility for a given expiration. IV is calculated from raw bid/ask option
prices using Black Scholes model (inverse problem). For missing option
prices IV can be interpolated, typically using parameterized SABR model.
I’ll gid out few pdfs and send you over.

Slavo
On Thu, 8 Feb 2018 at 21:42, Christofer Bogaso <bogaso.christofer at gmail.com>
wrote:

> Hi,
>
> Let say I have an Option chain for a typical Equity underlying with
> varying Strike prices and for both Call and Put. Option chain is
> available for multiple maturities.
>
> Based on above information, I would require to come up with a single
> Annualized volatility (implied) number for the underlying Equity.
>
> Can somebody point me, how this can be done in practice? Any research
> paper, Weblink will be highly appreciated.
>
> Thanks for your time.
>
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