Volatility Surface

Version 1.0.0 (194 KB) by Franco Marcelo Taipe Silvestre
Plots the Volatility Surface from the Implied Volatility obtained from puts and calls.
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169 Downloads
Updated 29 Aug 2020

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The function first computes Implied Volatility for an option chain using the starting value proposed in Manaster & Koehler's (1982), which guarantees convergence for the Newton-Raphson algorithm. The function also supports MATLAB's in-built BLSIMPV function for IV.
Then, the Volatility Surface is plotted and smoothed using Natural-Neighbor interpolation. The interpolation method can also be changed for others supported by the GRIDDATA function.

Cite As

Franco Marcelo Taipe Silvestre (2026). Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/79658-volatility-surface), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2019a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Volatility Surface

Version Published Release Notes
1.0.0