: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and …

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 …

-reverting lognormal process with multi-scale stochastic volatility. A closed-form solution is derived for the characteristic function of … us to simultaneously calibrate to observed currency futures and implied volatility surface of currency options within a …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

Volatility implied from observed option contracts systematically varies with the contracts' strike price and time to … expiration, giving rise to an instantaneously non-flat implied volatility surface (IVS) that exhibits substantial time variation … factors capturing the volatility level of the Japanese yen and the Chinese yuan, the volatility term structure of the Japanese …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates …

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option … contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the … estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the …