суббота, 14 ноября 2020 г.

Implied Volatility

http://ivdon.ru/uploads/article/pdf/IVD_210_Grechko_Kudryavtsev.pdf_3b7228a83c.pdf

 https://cyberleninka.ru/article/n/modeli-i-metody-otsenki-stoimosti-optsionov-i-podrazumevaemoy-volatilnosti

https://www.science-education.ru/ru/article/view?id=7261

Python:

https://aaronschlegel.me/implied-volatility-functions-python.html

https://stackoverflow.com/questions/35391850/implied-volatility-calculation-in-python

https://stackoverflow.com/questions/30360840/implied-volatility-calculator-is-wrong

https://stackoverflow.com/questions/4891490/calculating-europeanoptionimpliedvolatility-in-quantlib-python

https://stackoverflow.com/questions/57941858/is-there-a-faster-method-to-calculate-implied-volatility-using-mibian-module-for

https://www.google.com/search?q=python+implied+volatility+calculation+site:stackoverflow.com&rlz=1C1CHBD_ruRU861RU861&sa=X&ved=2ahUKEwieipjMgIPtAhWDqqQKHWxfDsYQrQIoBHoECAUQBQ&biw=1235&bih=860

Video

https://www.youtube.com/watch?v=Jpy3iCsijIU

https://www.youtube.com/watch?v=4z_nOgl8oHU

https://www.youtube.com/watch?v=2UJ9kFqQF-s

https://www.youtube.com/watch?v=wV8ox9mns0o

ML Calc:

https://arxiv.org/pdf/1901.08943.pdf

https://www.researchgate.net/publication/240141294_Capturing_the_volatility_smile_of_options_on_high-tech_stocks-A_combined_GARCH-neural_network_approach

Matlab

https://www.mathworks.com/matlabcentral/fileexchange/23316-volatility-surface

https://www.mathworks.com/matlabcentral/answers/397363-plot-smile-volatility-using-hull-white-formula-to-ornstein-uhlenbeck-process

https://www.mathworks.com/matlabcentral/fileexchange/46253-arbitrage-free-smoothing-of-the-implied-volatility-surface

https://www.mathworks.com/matlabcentral/answers/397365-plot-smile-volatility-using-hull-white-formula-to-ornstein-uhlenbeck-process-depend-of-time-and-k

https://www.mathworks.com/help/fininst/impvbybls.html

https://www.mathworks.com/help/finance/blsimpv.html

https://www.mathworks.com/help/fininst/optbylocalvolfd.html

https://ideas.repec.org/c/boc/bocode/m430006.html

https://stackoverflow.com/questions/19761021/implied-volatility-in-matlab

Calculator:

http://www.option-price.com/implied-volatility.php

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