The Chebyshev method for the implied volatility


The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. We propose a bivariate interpolation of the implied volatility... [ view full abstract ]


  1. Christian Poetz (Queen Mary University of London)
  2. Kathrin Glau (Queen Mary University of London)
  3. Paul Herold (Technical University of Munich)
  4. Dilip Madan (Robert H. Smith School of Business)

Topic Areas

Computational Finance , Numerical Methods , Options


WED-P-UI » Approximating the Volatility Smile (14:30 - Wednesday, 18th July, Ui Chadhain)

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