Volatility Surface

Compute and Plot Volatility Surfaces from Market Prices


Updated 31 Mar 2009

View License

The user inputs:

2 scalars:
- an annualized risk-free rate
- the current price of an underlying asset

3 vectors:
- a vector of time to maturity
- a vector of strike prices
- a vector European call prices gotten from the market for the same underlying asset.

The function VolSurface.m will then:

- compute and output the Black-Scholes implied volatility (this will be a matrix).
- get and plot the corresponding volatility surface using a kernel (Gaussian) density estimation.

Cite As

Rodolphe Sitter (2023). Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/23316-volatility-surface), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Inspired by: Kernel Smoothing Regression

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes