The Term Structure of Implied Volatility
In: Option Valuation under Stochastic Volatility
AbstractThis book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.
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This item is provided by Finance Press in its series Option Valuation under Stochastic Volatility with number ch6.
Note: Fig.6.6 curves are correctly labeled 'rho', not 'r' in the printed book.
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option pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale;
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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