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Persistent link: https://www.econbiz.de/10009613197
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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/10013113818
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...
Persistent link: https://www.econbiz.de/10013004161
The stationary distribution of a GARCH(1,1) process has a power law decay, under broadly applicable conditions. We study the change in the exponent of the tail decay under temporal aggregation of parameters, with the distribution of innovations held fixed. The parameter transformation we study...
Persistent link: https://www.econbiz.de/10012846179
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