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- 8/11/11
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Hi all,
I wonder if the following makes sense and if so, if anyone can recomend me any paper or similar
To price exotic equity options, we are using models that consider the vol smile (local vol and stochastic vol). I wonder if we could compute a BS vol equivalent.
in other words, once we got the price of the option (which in general doesn't have a closed formulae), is there any way to compute a flat vol (i.e. BS vol)?
We think of using this flat vol to have the feeling if the behaviour of our calculator is right (BS vol goes up, price goes up, etc.)
I searched on the forum but didn't find anything...
Thanks!!!
I wonder if the following makes sense and if so, if anyone can recomend me any paper or similar
To price exotic equity options, we are using models that consider the vol smile (local vol and stochastic vol). I wonder if we could compute a BS vol equivalent.
in other words, once we got the price of the option (which in general doesn't have a closed formulae), is there any way to compute a flat vol (i.e. BS vol)?
We think of using this flat vol to have the feeling if the behaviour of our calculator is right (BS vol goes up, price goes up, etc.)
I searched on the forum but didn't find anything...
Thanks!!!