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historical implied volatilities of historical american options

martin h

Joined
10/20/08
Messages
2
Points
11
Hi guys,

I am not a huge expert in this field, so be alarmed of hearing some stupid questions from me :)

I am currently trying to get historical implied volatilites of historical Options written on Crude Oil Futures (for all relevant strikes and all expiry months) from 2006 up to now.

However, Bloomberg does not store historical implied volatilities (or at least that's what the helpdesk told me). Since I need the implied volas to compute european type options out of them I am really puzzled what to do. They store the implied vola for the newer contracts only ( january 2010 up to now..).

Anyone got an idea how to derive the implied volatility out of the historical american option prices? I guess the fit a something like a trinomial tree to match the price..
I would be really grateful if any of you guys had an idea.

Kind regards,
mh
 
hi,

havent computed anything yet. Data still in stored in excel files. Would probably export it to Mathematica.

My advisor told me I should use approximations for American options and invert the formula in order to derive the implied volatility. Anyone here can recommend good papers concerning this subject? I found "Efficient Analytic Approximation of American Option Values" Whiley (1987) which seems to cover some of my concerns.

Kind Regards,
martin h
 
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