
Valer Zetocha – 16/01/23
Quantcast – a Risk.net Cutting Edge podcast
00:00
How to Measure the Liquidity of the Underlying From a Volume Perspective?
The algorithm does not bring a new parameterization of the volatile surface, but rather it proposes a way to fill in the gaps. So for a strike, you can say whether a strike is liquid or not by looking at the the bid of a spread. And for maturity, for the whole maturity, you can look at every spread, but also the density of quoted strikes.
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