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We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm. The model exhibits non-Gaussian forward swap rates...
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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...
Persistent link: https://www.econbiz.de/10014193589
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...
Persistent link: https://www.econbiz.de/10013113818