Computation of the implied and local volatility: elementary approaches
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چکیده
The Black-Scholes model assumes that the volatility is constant across strikes and maturity dates. However as we know, in the world of options, this is a very unrealistic assumption. Option prices for different maturities change drastically, and option prices for different strikes also experience significant variations. In this section we consider the numerical problem to compute the implied volatilities and the implied volatility surface.
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تاریخ انتشار 2011