volatility surface

marcos · March 3rd, 2004, 9:40 am

Hi,I would be very grateful if anyone could point me to any online resources/papers about constructing a "simple" volatility surface. Thanks.

robertral · March 3rd, 2004, 9:55 am

QuoteOriginally posted by: marcosHi,I would be very grateful if anyone could point me to any online resources/papers about constructing a "simple" volatility surface. Thanks.There are loads of threads on here about it. Do a search.

granchio · March 3rd, 2004, 10:40 am

you should specify your problem a bit better.relevant points would be:what type of underlying? (fx/equity/fixed income etc)is the underlying liquid? does a market on vanilla options exist? if so, is it liquid?do you need to trade on it or just do some study?if you want to trade:-do you need to price exotics or not?-are you looking at prop positions or hoping to hedge?and first of all, check your forwards before doing anything else.

SPAAGG · March 3rd, 2004, 1:35 pm

Simple parametrizations:Whaley, Dumas, Fleming (1998)weekly observations on S&P

SPAAGG · March 3rd, 2004, 1:49 pm

Brandt and Wu (2002)

SPAAGG · March 3rd, 2004, 1:50 pm

an other one...Rama Cont from Polytechnique

spoona13 · March 6th, 2004, 6:33 am

hi,u can just do a google.com search for vol surface and vol smiles...if u search hard enuff on this forum for 3d graphs and search on google.com, u may be able to find an excel file that allows you to generate vol surfaces. again, it would probably be best to specify your needs and uses.Spoona13