volatilitysurface

The principal features of the volatility surface is that options with lower strikes tend to have higher implied volatilities. For a given maturity, T, this ...

Plotting the associated implied volatilities in a three-dimensional plot results in what is called the volatility surface. Fig: 6.1 : Volatility Surface. 6.2.

由 E Derman 著作 · 1996 · 被引用 258 次 — Many traders intuitively deduce future local volatilities from options prices. Our model provides a more quantitative and exact way of accomplishing this end.

2023年4月4日 — A volatility surface is a 3D graph of implied volatilities plotted against strike prices and time to maturity for options on a particular asset.

Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be ...

The volatility service produces high quality pricing data that can support trading strategies, valuation, and risk systems. It provides volatility measures ...

由 T Daglish 著作 · 被引用 147 次 — The implied volatility of a European option on a particular asset as a function of strike price and time to maturity is known as the asset's volatility surface.