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Implied Volatility Surface: Construction Methodologies and Characteristics

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arxiv 1107.1834 v1 pith:AD7SD32B submitted 2011-07-10 q-fin.CP q-fin.PR

Cristian Homescu This is my paper · ORCID
classification q-fin.CPq-fin.PR
keywords surfacevolatilityconstructionimpliedmethodologiesalgorithmsarbitrage-freeasymptotics
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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: arbitrage-free conditions in both strike and time, how to perform extrapolation outside the core region, choice of calibrating functional and selection of numerical optimization algorithms, volatility surface dynamics and asymptotics.

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  1. One Other Option Pricing Scheme

    q-fin.CP 2026-07 conditional novelty 6.0 of 10

    A parsimonious stretched-exponential quantile splice parameterizes risk-neutral distributions and calibrates accurately to hundreds of thousands of SPX implied-volatility curves, including concave shapes.

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