Create implied volatility smile [Octave Matlab]

Category: Matlab	View Full Details
Create implied volatility smile
Submitter: vanna	Date: 2008/11/20

Description: This is a utility function which serves to create a smile curve using the follwoing input parameters: Kvec - a vector of strikes v1 - implied vol. to be fitted in left end of the smile v2 - implied vol. to be fitted in center point of the smile v3 - implied vol. to be fitted in right end of the smile It returns implied volatility vector for each strike point. Application of this function could possible be for MC simulation of analysis of implied volatility dynamics. Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1183 0 bytes Octave Matlab http://www.quantcode.com/
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Anonymous	Posted: 2011/4/2 19:31 Updated: 2011/4/2 19:31
	Create implied volatility smile Hi, Thanks for posting your code. I'm looking to fit a volatility smile using your code but I have a couple of questions. If I give the function a vector of moneyness instead of strikes nothing really changes correct? Secondly, I'm not sure why you have v1, v2, v3, as opposed to a single vector of implied volatilities? Also, how do I decide what is the 'left', the 'middle', or the 'right' or the smile? Thanks a bunch Paul

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