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pankajchitlangia
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Posts: 8
Joined: August 5th, 2003, 4:31 am

lmplied Volatility Term Structure

July 17th, 2011, 1:15 am

lf one has standard maturity ATM vols (i.e. 1m, 2m, 3m, 6m and 1y) which model do one use to determine ATM vols between those maturities? ls cubic spline interpolation method most appropriate in this case ?
Last edited by pankajchitlangia on July 16th, 2011, 10:00 pm, edited 1 time in total.
 
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FinancialAlex
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Joined: April 11th, 2005, 10:34 pm

lmplied Volatility Term Structure

July 17th, 2011, 6:01 am

You may want to take a look at this paper: http://papers.ssrn.com/sol3/papers.cfm? ... 82567which, among other things, discusses interpolation in time for the vols (section 6.3)I would not advise using cubic spline interpolation in time.