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hi, havent computed anything yet. Data still in stored in excel files. Would probably export it to Mathematica. My advisor told me I should use approximations for American options and invert the formula in order to derive the implied volatility. Anyone here can recommend good papers...

Hi guys, I am not a huge expert in this field, so be alarmed of hearing some stupid questions from me :) I am currently trying to get historical implied volatilites of historical Options written on Crude Oil Futures (for all relevant strikes and all expiry months) from 2006 up to now...