Implied Volatility Surface: Construction Methodologies and Characteristics

Preprint OPEN
Homescu, Cristian;
  • Subject: Quantitative Finance - Computational Finance | Quantitative Finance - Pricing of Securities

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitra... View more
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