Posted by
Sebastián Miranda on
Feb 06, 2008; 6:20pm
URL: http://quantlib.414.s1.nabble.com/Volatility-Surface-Interpolation-tp5741p5753.html
Thanks for all the responses !!! ( Grazie mille )
I agree with you, but I'm working in finance for less than a year...
so, sometimes, I need some else confirms what I suspects...
BTW I saw, that BlackVolSurface changed in 0.9 to experimental. I'm
using it
in a project thats goes live in some weeks... there's anything I
should know????
I can provide feedback about this.
best regards,
Sebastián
Barcelona (Spain)
El 6feb, 2008, a las 18:50 , Ferdinando Ametrano escribió:
> 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.
>
> mimicking the no-smile reasoning: if the ATM forward level was
> constant between 2 dates then you should have increasing variance and
> increasing option values in order to avoid arbitrage. But if the ATM
> changes this is not true anymore.
>
> ciao -- Nando
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