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Forward implied volatility expansion in time-dependent local volatility models****** [PDF]
ESAIM: Proceedings and Surveys, 2014 We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
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Asymptotics of Forward Implied Volatility [PDF]
SSRN Electronic Journal, 2015 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L vy models. This expansion applies to both small and large maturities and is based solely on the properties of the forward ...
Antoine Jacquier, Patrick Roome
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Path-Conditional Forward Volatility [PDF]
SSRN Electronic Journal, 2006 In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on the level of the underlying variable as in the local ...
Alexander Carey
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Forward Start Volatility Swaps in Rough Volatility Models [PDF]
Asia-Pacific Financial MarketsAbstract This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with
Elisa Alòs +2 more
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Journal of Agricultural and Resource Economics, 2006 Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
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The Forward Smile in Local-Stochastic Volatility Models [PDF]
SSRN Electronic Journal, 2015 We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
Andrea Mazzon, Andrea Pascucci
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Volatility of Forward Price in Dry Shipping Market
Procedia - Social and Behavioral Sciences, 2013 AbstractThe purpose of this paper is to investigate the volatility of forward contract price during different phases and holding periods in dry bulk shipping market, which could be helpful for the hedging and portfolio on the shipping market. This paper applies the Stochastic Volatility model to analyze the volatility, and the parameters of the model ...
Xiaoxing Gong, Jing Lu
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Quantum field theory of forward rates with stochastic volatility [PDF]
Physical Review E, 2002 7 ...
A. M. Polyakov +11 more
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Approximation of BSDE with Hidden Forward Equation and Unknown Volatility [PDF]
Econometrics and Statistics, 2022 In the present paper the problem of approximating the solution of BSDE is considered in the case where the solution of forward equation is observed in the presence of small Gaussian noise. We suppose that the volatility of the forward equation depends on an unknown parameter. This approximation is made in several steps.
Oleg Chernoyarov, Yury A. Kutoyants
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The relationship between corporate forward-looking disclosure and stock return volatility [PDF]
Problems and Perspectives in Management, 2018 The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to
Gehan A. Mousa, Elsayed A. H. Elamir
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