The Term Structure of Implied Volatility

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.

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Authors:	Lewis, Alan L.
Other Persons:	Lewis, Alan L. (contributor)
Published in:	Option Valuation under Stochastic Volatility.
Subject:	option pricing \| stochastic volatility \| equilibrium \| smile \| term structure \| implied volatility \| eigenvalue \| variational \| Mathematica \| GARCH diffusion \| local martingale

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Notes:	Fig.6.6 curves are correctly labeled 'rho', not 'r' in the printed book.
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005067725