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Interpolation Methods for Volatility Surface

A mathematical process in the pricing of options used to plot the volatility surface (varying strike prices and expiry dates that assume that the volatility of the underlying fluctuates) from a set of implied volatilities. These methods include:

  • bi-linear: two dimensional (horizontal and vertical),
  • bi-cubic: two dimensional (weighted average of the nearest sixteen pixels in a rectangular grid), and
  • thin plate: produces a smooth continuous surface.
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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.