MorphIQ LabsResearch

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#options

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Ferro Suite3 min read

The Boundary Is Part of the Algorithm

Numerical software often uses several methods to evaluate the same quantity. A series expansion works well in one region. Another formulation handles the tails. A third avoids cancellation near a limiting case.

MorphIQ Labs Research Notes#numerics#verification#implied-volatility#options
Ferro Suite5 min read

SVI and the No-Arbitrage Volatility Surface

An implied-volatility surface is a deceptively small object: a function from log-moneyness and maturity to a single number. The trouble is that not every such function corresponds to a market. A surface that prices a …

MorphIQ Labs Research Notes#volatility#options#arbitrage#calibration