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The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula
De Marco, Stefano; Martini, Claude - In: Quantitative finance 18 (2018) 4, pp. 609-622
Persistent link: https://www.econbiz.de/10011906443
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THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON
MARCO, S. DE; MARTINI, C. - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250026-1
We study the term structure of the implied volatility in the presence of a symmetric smile. Exploiting the result by Tehranchi (2009) that a symmetric smile generated by a continuous martingale necessarily comes from a mixture of normal distributions, we derive representation formulae for the...
Persistent link: https://www.econbiz.de/10010552938