best model to predict implied vol.

J · June 15th, 2011, 9:18 pm

any ideas

bwarren · June 15th, 2011, 11:27 pm

I don't know the best, but you can use local volatility to model the vol surface.There are also heuristics like sticky strike, sticky delta.

VegaPlus · June 16th, 2011, 4:20 pm

So you're looking for a model for the smile dynamics? Google it and you'll have some papers on this subject. I never studied that in depth so can't tell you which one is the "best" (don't think there's any).

J · June 16th, 2011, 10:29 pm

want to best predict implied volatility moving?

eye51 · June 23rd, 2011, 1:01 pm

kalman filter