In practice, the choice of using a local volatility model or a stochastic volatility model is made according to their respective ability to fit implied volatility surfaces. In this paper, we adopt an opposite point of view. Indeed, based on historical data, we design a statistical procedure...

Implied volatility is a key value in financial mathematics. We discuss some of the pros and cons of the standard ways to compute this quantity, i.e. numerical inversion of the well-known Black–Scholes formula or asymptotic expansion approximations, and propose a new way to directly calculate...