Tried to figure out how to calculate implied volatilities for a complete index surface today. Didn't come out to well...
Since I didn't have discrete dividends for all the constituents for the underlyings, I tried to use a continous dividend yield. That does not work ... of course. From where to where should the div yield span?
Tomorrow it's time for a redefinition and a hunt for a daily update of the index constituents. Perhaps it's possible to back a relevant and approximate div yield from the futures market. I'll try that as well.
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