Functional form for Imp Vol

oskarr · October 10th, 2005, 2:51 pm

In order to derive the PDs in Dupire's equation, one need the functional form of Implied Volatility. I haved tried different polynomials, estimating the parameters with OLS. But it doesn't turn out well. If anyone could provide suggestions regarding the functional form of Imp Vol I would be grateful.

oskarr · October 11th, 2005, 7:35 am

Or is it better to use B-Splines method? Then solve the PDs numerically?

pschwen · October 16th, 2005, 8:14 am

there is a similar thread:http://www.wilmott.com/messageview.cfm? ... adid=32278