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- W159572842 abstract "We study implied volatility surfaces when the squared volatility is driven by an inverse gamma process. We derive the first two conditional moments of the integrated volatility over the time to maturity to study theoretical term structure volatility patterns. We find that these patterns are in accordance with the empirical ones. Finally, we discuss some probabilistic properties of the volatility process. Corresponding author: Claudia.Ravanelli@lu.unisi.ch 1 Institute of Finance, University of Southern Switzerland and City University Business School. 2 JP Morgan Chase, London. 3 Institute of Finance, University of Southern Switzerland." @default.
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- W159572842 date "2002-01-01" @default.
- W159572842 modified "2023-09-29" @default.
- W159572842 title "Implied volatility surfaces for inverse gamma models" @default.
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