Recent Content by ZeroReturn

  1. Equation for volatility surface parametrisation

    It is on deribit.com
    Post by: ZeroReturn, Dec 10, 2017 in forum: Options

  2. Equation for volatility surface parametrisation

    I currently still use a segmented curve where I basically build two custom made equations. It is absolutely rudimentary. [1] Vol(K) = Vol(ATM) *...
    Post by: ZeroReturn, Dec 4, 2017 in forum: Options

  3. Equation for volatility surface parametrisation

    Thank you very much for these replies. This is basically exactly what I was looking for. I read about most of those models, but given the very...
    Post by: ZeroReturn, Dec 1, 2017 in forum: Options

  4. Equation for volatility surface parametrisation

    I am looking for a very simple equation to parametrise a curve. The equation should only be dependant on the strike price K, the underlying price...
    Thread by: ZeroReturn, Dec 1, 2017, 9 replies, in forum: Options

  5. Parametrise Implied Volatility Smile

    Thanks for the input so far. Both methodologies are interesting. I read about both versions before as well. However, it seems that both try to...
    Post by: ZeroReturn, Aug 31, 2017 in forum: Options

  6. Parametrise Implied Volatility Smile

    Hi, I am currently to create my own volatility smile for currency options. I am basically reading the bids and offers and calculating the implied...
    Thread by: ZeroReturn, Aug 31, 2017, 6 replies, in forum: Options