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Tim Xiao deposited Constructing Swaption Volatility Surfaces in the group
Business Management on Humanities Commons 4 years, 10 months ago An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. An interest rate swaption volatility surface is a four-dimensional plot of the implied volatility of a swaption as a function of strike and expiry and tenor.