Creating the volatility surface dataset using implied volatilities
2 mins read The downloaded implied volatility dataset from your volatility data sources generally includes the following information: Figure 1 Raw Implied Volatility
The difference between implied and local volatility – volatility surfaces
2 mins read While we introduced the concept of implied and local volatilities in lesson one on volatility surfaces we didn’t spend time
Volatility surface, deep out of the money options and lottery tickets
2 mins read A deep out of money option is like a lottery ticket. If you used the at the money estimate of
Volatility surfaces, implied volatilities, smiles and skews
4 mins read This is our first post in a multipart series on volatility surfaces, their construction and usage in the option pricing