Citations (2)


Footnotes (149)



Implied Volatility Surface: Construction Methodologies and Characteristics

Cristian Homescu


July 9, 2011

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.

Number of Pages in PDF File: 38

Keywords: volatility surface, dynamics of implied volatility, stochastic volatility models, local stochastic volatility models, calibration, numerical methods, optimization, computational efficiency

JEL Classification: C15, C61, C63, G12, G13

Open PDF in Browser Download This Paper

Date posted: July 10, 2011  

Suggested Citation

Homescu, Cristian, Implied Volatility Surface: Construction Methodologies and Characteristics (July 9, 2011). Available at SSRN: http://ssrn.com/abstract=1882567 or http://dx.doi.org/10.2139/ssrn.1882567

Contact Information

Cristian Homescu (Contact Author)
Independent ( email )
No Address Available
United States
Feedback to SSRN

Paper statistics
Abstract Views: 5,424
Downloads: 1,853
Download Rank: 4,818
Citations:  2
Footnotes:  149

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.344 seconds