webinar

Equity Volatility Surface Generation

Equity volatility (“vol”) surfaces are crucial for option trading and risk management. A deep understanding of their generation is essential for the proper use of vol surface data.

However, there are many nuances in generating an accurate and reliable vol surface. And the use of advanced pricing models can contribute to the generation of more robust vol surfaces.

Join Dr. Ping Sun of Numerix as he covers key aspects of equity volatility surface generation and delves into practical issues and considerations.

Dr. Sun covers:

  • Examples of equity volatility surfaces in the market
  • Projection of underlying forward prices of listed options 
  • Conversion of American option volatilities to European equivalents
  • Handling deep in- and out-of-the-money options
  • Volatility surface interpolation, extrapolation, and parameterization
  • Applying a local volatility model to generate a volatility surface 
     

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