{"title":"On the Forward Smile","authors":"T. Roos","doi":"10.2139/ssrn.3429050","DOIUrl":null,"url":null,"abstract":"Using short-time expansion techniques, we obtain analytic implied volatilities for European and forward starting options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise constant) parameters. The formulas can be used to efficiently calibrate the model to European options at two expiries and to calculate the spanning forward starting option price.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Derivatives eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3429050","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 3
Abstract
Using short-time expansion techniques, we obtain analytic implied volatilities for European and forward starting options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise constant) parameters. The formulas can be used to efficiently calibrate the model to European options at two expiries and to calculate the spanning forward starting option price.
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