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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...
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