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Forward and future implied volatility
Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432
Persistent link: https://www.econbiz.de/10009154904
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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Predictability in implied volatility surfaces : evidence from the euro OTC FX market
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: The European journal of finance 20 (2014) 1/3, pp. 33-58
Persistent link: https://www.econbiz.de/10010462211
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Walter, Christian (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001577552
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Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Walter, Christian; López Marín, José Alberto - 1997
Persistent link: https://www.econbiz.de/10001380840
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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Forward and Future Implied Volatility
Glasserman, Paul - 2012
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 … SABR model with piecewise constant parameters and calculation of forward volatility.We then investigate empirically whether …
Persistent link: https://www.econbiz.de/10013113818