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jmholzer / probabilistic

Generate probability curves for the future price of publicly traded securities using options chain data.
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Research discrete IV values' interpolation strategy #1

Closed jmholzer closed 1 year ago

jmholzer commented 1 year ago

Research a process for interpolating discrete IV data that is robust to noise.

Link can be used as a resource

tyrneh commented 1 year ago

there's some crazy complicated interpolation strategies: https://www.iasonltd.com/doc/old_rps/2007/2013_The_implied_volatility_surfaces.pdf

let's just stick with cubic spline (interp1d) for now

tyrneh commented 1 year ago

Closing this issue for now as we've moved forward with interp1d.