Results 11 to 20 of about 2,210,161 (360)
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
semanticscholar +3 more sources
The Forward Smile in Local-Stochastic Volatility Models
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
semanticscholar +6 more sources
A Comparison of Implied and Realized Volatility in the Nordic Power Forward Market [PDF]
Energy Economics, 2015 Abstract In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied volatility has a positive bias against the realized
Ole Henrik Birkelund +4 more
semanticscholar +4 more sources
Asymptotics of Forward Implied Volatility [PDF]
SSRN Electronic Journal, 2012 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 Levy models.
A. Jacquier, P. Roome
semanticscholar +5 more sources
Forward Volatility Dynamics in Stochastic Volatility Models Driven by a Gamma Process
SSRN Electronic Journal, 2018 Pricing models within the Black-Scholes framework assume that the volatility of the underlying security remains constant over the life of the derivative, which cannot explain long-observed characteristics of the implied volatility surface such as volatility smile and skew.
Lyudmil Zyapkov
semanticscholar +3 more sources
A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models [PDF]
Risks, 2020 We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero +2 more
doaj +2 more sources
Asymptotics of Forward Implied Volatility [PDF]
, 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\'evy models.
Antoine Jacquier, Patrick Roome
openalex +4 more sources
Quantum Field Theory of Forward Rates with Stochastic Volatility [PDF]
Physical Review E, 2001 In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility.
A. M. Polyakov +11 more
core +3 more sources
Credit-Implied Forward Volatility and Volatility Expectations
Finance Research Letters, 2016 AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
H. Byström
semanticscholar +3 more sources
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
openalex +3 more sources