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The Term Structure of Implied Volatility

In: Option Valuation under Stochastic Volatility

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Abstract

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.

Suggested Citation

  • Alan L. Lewis, 2000. "The Term Structure of Implied Volatility," Option Valuation under Stochastic Volatility, in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 6, Finance Press.
    • Handle: RePEc:vsv:svbook:ch6
    Note: Fig.6.6 curves are correctly labeled 'rho', not 'r' in the printed book.
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    More about this item

    Keywords

    option pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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