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Volatility Surface

version 1.1.0.0 (179 KB) by Rodolphe Sitter
Compute and Plot Volatility Surfaces from Market Prices

6.2K Downloads

Updated 31 Mar 2009

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The user inputs:

2 scalars:
- an annualized risk-free rate
- the current price of an underlying asset

3 vectors:
- 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.

Cite As

Rodolphe Sitter (2021). Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/23316-volatility-surface), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Kernel Smoothing Regression

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