Interpolating Option Prices

[gver]

i am trying to interpolate option prices for an option of Maturity T, Delta D and strike K from a list of available listed options. Intrinsic val is simple and what i really want to interpolate is the extrinsic value. So lets say I have a 1M and 2M listed option of delta D and strike K and want to interpolate price for 1.5M option. Having a linear interpolation will not be very successful here since the price term structure (extrinsic val) will not be a straight line. Moreover, it will be convex or concave depending on the delta. Could you suggest something which could make use of the greeks or other stuff from listed in order to get the extrinsic val of the desired mat.
Thanks

 

[Sanket Patel]

Unless you want fit a model to the vol surface, I'd suggest just interpolating the 1m and 2m vol at whatever delta you need. A linear interpolation is a decent approximation.

 

[gver]

thanks Sanket .. interpolating vol and plugging it in BS to get the option prices is something i have for the FX space .. but for equities this will require interpolating divs as well .. this is one way i agree ( i mean interpolating divs and all isnt a big issue), but the idea is to have a methodology that simply uses listed option and greeks and perhaps interpolate/play with them to get the price rather than fetching data from BBG .. because i saw some data issues and irregularities in the BBG vol data and dont want to rely much on that ..