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Constructing Swaption Volatility Surfaces
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- swaption volatility, volatility surface construction, volatility calibration
- Permanent URL:
- http://dx.doi.org/10.17613/n36b-v388
- Abstract:
- An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. An interest rate swaption volatility surface is a four-dimensional plot of the implied volatility of a swaption as a function of strike and expiry and tenor.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
irswnvol-6.pdf