[R-SIG-Finance] Implied Volatility

[Erol Biceroglu]

Hello,

I thought I’d add my 2 cents to this excellent list of volatility
literature.

https://vlab.stern.nyu.edu/en/ a tool for quick vol forecasting analysis.

Though it doesn’t use Implied Vol, it may be helpful to compare.

Thanks,

Erol

On Mon, Feb 12, 2018 at 4:21 PM Slavo Matasovsky <slavo.matas at gmail.com>
wrote:

> 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.
> > >
> > > _______________________________________________
> > > R-SIG-Finance at r-project.org mailing list
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> > >
> >
> >
> >
> > --
> > -----
> > Kind Regards,
> > Oleg Mubarakshin
> >
> >         [[alternative HTML version deleted]]
> >
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-- 

Erol Biceroglu
*LinkedIn <http://ca.linkedin.com/in/erolbiceroglu> | Wordpress
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