Results 261 to 270 of about 9,634 (299)

FORWARD AND FUTURE IMPLIED VOLATILITY

International Journal of Theoretical and Applied Finance, 2011
We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the prices of European options at fixed maturities.
PAUL GLASSERMAN, QI WU
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Common Forward Rate Volatility

SIAM Journal on Financial Mathematics, 2010
Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and a diffusion.
Victor Goodman, Kyounghee Kim
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From Spot Volatility to Forward Volatility

SSRN Electronic Journal, 2012
The purpose of this note is to design a very simple algorithm to link the spot and the forward volatility representations. The impact of dividend volatility is stripped out from the forward volatility thanks to an analytic appraoch.
Adil Reghai, Gilles Boya
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Forward Implied Volatilities

2015
For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
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PPlya-Based Approximation for the ATM-Forward Implied Volatility

SSRN Electronic Journal, 2017
We introduce a closed form approximation for the implied volatility of ATM-forward options. The relative error of this approximation is uniformly bounded for all option maturities and implied volatilities. The approximation is extremely precise, having relative error less than [Formula: see text] for all options with integrated volatility less than ...
Ivan Matić, Radoš Radoičić, Dan Stefanica   +2 more
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Pricing Electricity Forwards Under Stochastic Volatility

SSRN Electronic Journal, 2001
Based on the peculiarities of electricity as underlying commodity of forward contracts we develop a time-continuous pricing model for short-term electricity forwards. The suggested stochastic volatility model utilizes the non-tradeable spot price of electricity and its variance rate as state variables.
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TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

Mathematical Finance, 2010
Extending the author's previous work [Math. Finance 18, No. 3, 427--443 (2008; Zbl 1141.91452)], where the bivariate support has been investigated, the present paper provides a description of the trivariate support of a flat-volatility Libor market model. More precisely, the author considers a Libor rate model \(L^1, \ldots, L^n\), where the last three
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Evidence of forward discount determinants and volatility behavior

Journal of Economic Studies, 1998
This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount volatility. Results also suggest that foreign central bank reserves
Maria Sophia Aguirre, Reza Saidi
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Implied Volatility and Forward Price Term Structures

SSRN Electronic Journal, 2009
This paper discusses the relation between forward price models (FPM) and the so called implied volatility term structure (VTS). We start by considering the case of pure deterministic forward price volatilities and suppose both forward contracts and at-the-money (ATM) options, on a same underlying, are liquidly traded in the market.
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Pricing forward-start variance swaps with stochastic volatility

Applied Mathematics and Computation, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhu, Song-Ping, Lian, Guang-Hua
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