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Methods for Volatility Surface Interpolation
How to incorporate special day volatility in the interpolation?
Methods for Volatility Surface Interpolation
Has anyone done any research on the differences in interpolation and whether a better method leads to better pricing? Just thinking that if you have a desk that is running a linear interpolation versus a desk that is running a cubic spline there is a difference in price which in theory you can trade off. It just depends which one is "right"