Question: Use data in Tables 25.1 and 25.2, and Eq. (25.12) to construct the local volatility surface. In order to do it, set upa uniform grid,

Use data in Tables 25.1 and 25.2, and Eq. (25.12) to construct the local volatility surface. In order to do it, set upa uniform grid, then use bi-cubic sp line interpolation/extrapolation to find the values at those grid points and then apply Eq. (25.12) to evaluate local volatility value at each grid point. Some hints on how to evaluate the partial derivatives will be provided.

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1 Hirsa Neftci Book 2 Local Volatility Surface by bicubic Spline 7 8 9 10 2 3 4 598 12 13 14 15 16 18 20 21 22 MA 33 36 calls 24 1405 24 1410 24 1415 ... View full answer

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