FORWARD AND FUTURE IMPLIED VOLATILITY

DOI10.1142/S0219024911006590zbMath1231.91434OpenAlexW3122915356MaRDI QIDQ3006611

Paul Glasserman, Qi Wu

Publication date: 20 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006590

zbMATH Keywords

currency optionsvolatility forecastingimplied volatility surfaceforward volatilitytime-dependent SABR model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs ⋮ Large-maturity regimes of the Heston forward smile ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ Asymptotics of Forward Implied Volatility

Cites Work

• Consistent variance curve models
• Local volatility dynamic models
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
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