[R-SIG-Finance] Implied Volatility

[Josh Segal]

Well there is also "Model-Free Implied Volatility" which is computed for
each expiry from all available strikes.  That may be more relevant,
depending on what your goal is.
See for example: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2220067


On Thu, Feb 8, 2018 at 4:02 PM, Slavo Matasovsky <slavo.matas at gmail.com>
wrote:

> 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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