Implied volatility approximation: Brenner and Subrahmanyan method

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Today we will investigate an approximation of implied volatility calculations proposed by Brenner and Subrahmanyan (1988) and discuss the logic of implied volatility calculations based on individual options or straddles.
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Опубликовано:

3 окт 2024

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Комментарии : 7

@NEDLeducation Год назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@dmitribolshov9383 11 месяцев назад

Savva, thank you!

@knot2knot90 Год назад

Awesome video! Very clear explanation, thank you. I was wondering, if I'm able to get historical ATM call and put prices for any given stock/index, will i be able to use this method to estimate historical implied volatility? I assume that will not be the same as the observed implied volatility because of the difference in calculations?

@NEDLeducation Год назад

Hi, and thanks for the feedback, appreciate it. Yes, you are correct!