Is it possible to find / estimate the volatility surface of non-listed index options?
Is it possible to find / estimate the volatility surface of non-listed index options?
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PBD10017 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: PBD10017
Original post: https://quant.stackexchange.com/questions/26085
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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.
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onlyvix.blogspot.com · External communityPost link
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/
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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
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Quoted from Forex.com.bd-Editorial External answer — Quantitative Finance Stack Exchange Author: onlyvix.blogspot.com Source score (net votes, not local likes): 2 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
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