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Research Seminar by Slavi Georgiev – Institute of Finance

The lecture is entitled “On two numerical approaches to identify the time-dependent implied volatility from option quotes”.
2023.09.18. 11:40
Budapesti Corvinus Egyetem

Location: Corvinus University, Main Building, Auditorium III. 

Date: 18 September 2023 

Time: 11:40 am 

Language: English 

More details 

Slavi Georgiev: On two numerical approaches to identify the time-dependent implied volatility from option quotes 

Abstract: In this report, we will present two numerical approaches to reconstruct the implied volatility. The first one is based on a special decomposition after a linearization in time of the diffusion terms. This method has been developed for a variety of Black-Scholes type models, including jump-diffusion framework, regime-switching economy and multi-asset options. It is possible to adapt the method for other more exotic options. The second approach recovers the volatility level as a piecewise linear function of time, using a set of market measurements. The volatility is recovered in iterational manner with respect to the maturities. Both approaches are tested with a plenty of synthetic and real data. 

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GEN.:2024.06.13. - 03:35:07