Implied Volatility
Posted: August 30th, 2007, 11:57 am
Hi,I am using vanna-volga method to generate volatility smile given 25 delta STR, 25 delta RR and ATMF. But some markets like GBP also quotes 10 delta points which usually do not lie on the generated smile. How do we interpolate between 10 delta and 25 delta and beyond 10 delta points while being consistent with the market?