Forward And Future Implied Volatility
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DOI: 10.1142/S0219024911006590
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Cited by:
- Jacquier, Antoine & Roome, Patrick, 2016.
"Large-maturity regimes of the Heston forward smile,"
Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
- Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
- Li, Xingyi & Zakamulin, Valeriy, 2020. "The term structure of volatility predictability," International Journal of Forecasting, Elsevier, vol. 36(2), pages 723-737.
- Byström, Hans, 2016.
"Credit-implied forward volatility and volatility expectations,"
Finance Research Letters, Elsevier, vol. 16(C), pages 132-138.
- Byström, Hans, 2015. "Credit-Implied Forward Volatility and Volatility Expectations," Working Papers 2015:34, Lund University, Department of Economics.
- Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
- Fernández, J.L. & Ferreiro, A.M. & García-Rodríguez, J.A. & Leitao, A. & López-Salas, J.G. & Vázquez, C., 2013. "Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 55-75.
- Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2021.
"Challenges in approximating the Black and Scholes call formula with hyperbolic tangents,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 73-100, June.
- Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2018. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Papers 1810.04623, arXiv.org.
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Keywords
Forward volatility; implied volatility surface; time-dependent SABR model; currency options; volatility forecasting;All these keywords.
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