Forward volatility - Open Access .click

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.
A. Reghai, Gilles Boya
semanticscholar +2 more sources

Pólya-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 ...
I. Matić, R. Radoicic, D. Stefanica
semanticscholar +2 more sources

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, 2010
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.
P. Glasserman, Qi Wu
semanticscholar +4 more sources

Fuzzy Option Pricing Using a Novel Data-Driven Feed Forward Neural Network Volatility Model

IEEE International Conference on Fuzzy Systems, 2019
Recently there has been a growing interest in combining randomness and fuzziness to solve option pricing problems in finance using volatility models such as GARCH (generalized autoregressive conditional heteroskedasticity) and Heston-Nandi GARCH.
A. Thavaneswaran +4 more
semanticscholar +1 more source

economics
volatility finance
mathematics

econometrics
business
financial economics

implied volatility
computer science
stochastic volatility