Hello,
My understanding is that stochastic option models have a IV that is stochastic and is defined by mean IV and SD of IV. Is there a way to back into the implied distribution of IV, given market prices, just like we can back into IV itself from market prices. Basically, how do I find the vol of vol implied by the market?
I guess conceptually, I can probably create a program that just trial/error vol of vols on the regular BS model until I get market prices. I'd assume that would be computer intensive tho. Just wondering if there was a way out there already.
Thanks!