Is it possible to find / estimate the volatility surface of non-listed index options?

External question — Quantitative Finance Stack Exchange Author: PBD10017 Original post: https://quant.stackexchange.com/questions/26085 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I have 3 QNET options (european, 2 puts, 1 call, all same expiry, different strikes) that the broker is pricing clearly off a volatility surface. Bloomberg only carries historical volatility and I assume the broker is pricing this off quotes.

External answer — Quantitative Finance Stack Exchange Author: onlyvix.blogspot.com Original post: https://quant.stackexchange.com/a/26086 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Yes, your broker could have used one or combination of many factors: estimated volatility surface from historical returns of your target index, historical returns of similar indexes, implied volatility of similar indexes, existing inventory,etc. Check out these two approaches to deriving surfaces from returns starting slide 14