Volatility Surface
Plots the Volatility Surface from the Implied Volatility obtained from puts and calls.
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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 .
General Information
- Version 1.0.0 (194 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0 |
