[R-SIG-Finance] Implied Volatility

[Slavo Matasovsky]

Variance and volatility swaps are forward contracts on realized
variance/volatility... varswaps/volatility swaps can be priced using
replication strategy resulting in replicating static portfolio of call/put
options for variance swap or dynamic portfolio of options for volatililty
swaps...

Following books cover both volatility modeling as well as volatility
products...

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

Austing - Smile Pricing Explained
https://www.palgrave.com/gp/book/9781137335715

On Mon, 12 Feb 2018 at 21:57, Oleg Mubarakshin <oleg.mubarakshin at gmail.com>
wrote:

> 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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>
> _______________________________________________
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