(a) From market price data make a graph of implied volatility versus strike price K for...
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(a) From market price data make a graph of implied volatility σ versus strike price K for call options on the S&P-500 for expiration maturities of T on the order of 30 days (near as possible). Do the same for T = 60 and 90 days. You now have a volatility surface, implied volatility versus strike and time.
(b) Do the same for put options.
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Obtaining Market Data Data Source Youll need access to market data that provides option chain information for SP 500 options Some potential sources in...View the full answer
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