[R-SIG-Finance] Implied Volatility

[Oleg Mubarakshin]

Hi Chris,

If you are looking for a number (not a smile or a surface) of volatility,
probably a variance swap methodology can help you with it
please start with it
http://www.emanuelderman.com/media/gs-volatility_swaps.pdf
if it fits - googling

Kind regards,
Oleg

On Thu, Feb 8, 2018 at 8:42 PM, 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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Kind Regards,
Oleg Mubarakshin

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