Methods for Volatility Surface Interpolation
Posted: July 30th, 2009, 6:30 am
by sushilp
How to incorporate special day volatility in the interpolation?
Methods for Volatility Surface Interpolation
Posted: August 4th, 2009, 8:42 am
by rmax
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"