From spot volatilities to implied volatilities

Since the pioneering work of Dupire, the local volatility function can be derived from the implied volatility surface. Calculating implied volatilities from local volatilities is classically done by numerically solving the forward equation for call prices. Here, Julien Guyon and Pierre Henry-Labordère suggest new methods for calculating implied volatilities, based on a very general result that expresses the square of the implied volatility as an average over time and space of the square of the spot volatility

Click on the link below to read the full version of this article.

From spot volatilities to implied volatilities

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here