Hi Chris, If you are looking for a number (not a smile or a surface) of volatility, probably a variance swap methodology can help you with it please start with it http://www.emanuelderman.com/media/gs-volatility_swaps.pdf if it fits - googling
Kind regards, Oleg On Thu, Feb 8, 2018 at 8:42 PM, Christofer Bogaso < bogaso.christo...@gmail.com> wrote: > Hi, > > Let say I have an Option chain for a typical Equity underlying with > varying Strike prices and for both Call and Put. Option chain is > available for multiple maturities. > > Based on above information, I would require to come up with a single > Annualized volatility (implied) number for the underlying Equity. > > Can somebody point me, how this can be done in practice? Any research > paper, Weblink will be highly appreciated. > > Thanks for your time. > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > -- ----- Kind Regards, Oleg Mubarakshin [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
