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Re: Volatility Surface Interpolation

Posted by Luigi Ballabio on Feb 28, 2008; 5:24pm
URL: http://quantlib.414.s1.nabble.com/Volatility-Surface-Interpolation-tp5741p5747.html

On Wed, 2008-02-06 at 18:50 +0100, Ferdinando Ametrano wrote:
> On Wed, Feb 6, 2008 at 6:16 PM, Luigi Ballabio <[hidden email]> wrote:
> >  Question for the volatility experts: I know that a decreasing variance
> >  makes no sense---if it's the actual variance of an underlying. Since
> >  we're talking of smiled volatility here [...] should we still
> >  require monotonicity along each strike?
>
> we shouldn't in my opinion. I would remove the require condition.

Ok, done.

Luigi


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