Hello, I thought I’d add my 2 cents to this excellent list of volatility literature.
https://vlab.stern.nyu.edu/en/ a tool for quick vol forecasting analysis. Though it doesn’t use Implied Vol, it may be helpful to compare. Thanks, Erol On Mon, Feb 12, 2018 at 4:21 PM Slavo Matasovsky <slavo.ma...@gmail.com> wrote: > Variance and volatility swaps are forward contracts on realized > variance/volatility... varswaps/volatility swaps can be priced using > replication strategy resulting in replicating static portfolio of call/put > options for variance swap or dynamic portfolio of options for volatililty > swaps... > > Following books cover both volatility modeling as well as volatility > products... > > Gatheral - Volatility Surface > https://www.amazon.com/Volatility-Surface-Practitioners-Guide/dp/0471792519 > > Austing - Smile Pricing Explained > https://www.palgrave.com/gp/book/9781137335715 > > On Mon, 12 Feb 2018 at 21:57, Oleg Mubarakshin <oleg.mubaraks...@gmail.com > > > wrote: > > > 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. > > > > [[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. > -- Erol Biceroglu *LinkedIn <http://ca.linkedin.com/in/erolbiceroglu> | Wordpress <https://propfoliomanagement.wordpress.com/>* [[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.