[R-SIG-Finance] Implied Volatility

[Slavo Matasovsky]

Check out Jim Gatherals web site for the implied volatility modeling
approaches including latest Rough Volatility models...

https://mfe.baruch.cuny.edu/jgatheral/

http://faculty.baruch.cuny.edu/jgatheral/ImpliedVolatilitySurface.pdf

https://www.amazon.com/Volatility-Surface-Practitioners-Guide/dp/0471792519

On Thu, 8 Feb 2018 at 22:02, 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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>

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