The user inputs:
- an annualized risk-free rate
- the current price of an underlying asset
- a vector of time to maturity
- a vector of strike prices
- a vector European call prices gotten from the market for the same underlying asset.
The function VolSurface.m will then:
- compute and output the Black-Scholes implied volatility (this will be a matrix).
- get and plot the corresponding volatility surface using a kernel (Gaussian) density estimation.
Rodolphe Sitter (2021). Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/23316-volatility-surface), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Inspired by: Kernel Smoothing Regression
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!