4 papers
Implying Volatility: How Fast Can We Go?
Fabien Le Floc'h, Jherek Healy
FlashIV is a low-latency Black--Scholes implied-volatility solver for production use. It normalises each input to an out-of-the-money price and solves a tail-stable erfcx/log-price…
Counterexamples for FX Options Interpolations -- Part II
Jherek Healy
This follow-up article analyzes the impact of foreign exchange option interpolation on the vanilla option implied volatilities. In particular different exact interpolations of brok…
Counterexamples for FX Options Interpolations -- Part I
Jherek Healy
This article provides a list of counterexamples, where some of the popular fx option interpolations break down. Interpolation of FX option prices (or equivalently volatilities), is…
Heston vol-of-vol and the VVIX
Jherek Healy
The Heston stochastic volatility model is arguably, the most popular stochastic volatility model used to price and risk manage exotic derivatives. In spite of this, it is not neces…