Estimation of Options Implied Volatility Curve
نویسنده
چکیده
• This document describes how I used mathematical methods for the estimation of implied volatility curve, a crucial engineering problem raised in our High Frequency Trading (HFT) strategy. I apologize for using many of jargons and unformatted figures. This is because the materials were not prepared for an academic purpose, but just for internal usage. • All data used in this document are about KOSPI200 index futures and options.
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