Matches in SemOpenAlex for { <https://semopenalex.org/work/W2114616509> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W2114616509 endingPage "432" @default.
- W2114616509 startingPage "407" @default.
- W2114616509 abstract "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 prices of European options at fixed maturities. We then specialize to the SABR model and show how the asymptotic expansion of the bivariate transition density in Wu {Wu10} allows calibration of the SABR model with piecewise constant parameters and calculation of forward volatility.We then investigate empirically whether current option prices at multiple maturities contain useful information in predicting future option prices and future implied volatility. We undertake this investigation using data on options on the euro-dollar, sterling-dollar, and dollar-yen exchange rates. We find that prices across maturities do indeed have predictive value. Moreover, we find that model-based forward volatility extracts this predicative information better than a standard model-free'' measure of forward volatility and better than spot implied volatility. The enhancement to out-of-sample forecasting accuracy gained from model-based forward volatility is greatest at longer forecasting horizons." @default.
- W2114616509 created "2016-06-24" @default.
- W2114616509 creator A5026619574 @default.
- W2114616509 creator A5038360373 @default.
- W2114616509 date "2012-09-10" @default.
- W2114616509 modified "2023-09-27" @default.
- W2114616509 title "FORWARD AND FUTURE IMPLIED VOLATILITY" @default.
- W2114616509 cites W1588152617 @default.
- W2114616509 cites W1977522450 @default.
- W2114616509 cites W2008556354 @default.
- W2114616509 cites W2081507640 @default.
- W2114616509 cites W2103594874 @default.
- W2114616509 cites W2104806592 @default.
- W2114616509 cites W2105590567 @default.
- W2114616509 cites W2116285217 @default.
- W2114616509 cites W2119842211 @default.
- W2114616509 cites W2125948565 @default.
- W2114616509 cites W2159192962 @default.
- W2114616509 cites W2186244866 @default.
- W2114616509 cites W2594662320 @default.
- W2114616509 cites W297795963 @default.
- W2114616509 cites W3121174621 @default.
- W2114616509 cites W3121462754 @default.
- W2114616509 cites W3122456024 @default.
- W2114616509 cites W3123552380 @default.
- W2114616509 doi "https://doi.org/10.1142/9789814407892_0018" @default.
- W2114616509 hasPublicationYear "2012" @default.
- W2114616509 type Work @default.
- W2114616509 sameAs 2114616509 @default.
- W2114616509 citedByCount "6" @default.
- W2114616509 countsByYear W21146165092012 @default.
- W2114616509 countsByYear W21146165092013 @default.
- W2114616509 countsByYear W21146165092014 @default.
- W2114616509 crossrefType "book-chapter" @default.
- W2114616509 hasAuthorship W2114616509A5026619574 @default.
- W2114616509 hasAuthorship W2114616509A5038360373 @default.
- W2114616509 hasConcept C105795698 @default.
- W2114616509 hasConcept C106159729 @default.
- W2114616509 hasConcept C117996083 @default.
- W2114616509 hasConcept C13290067 @default.
- W2114616509 hasConcept C149782125 @default.
- W2114616509 hasConcept C162324750 @default.
- W2114616509 hasConcept C187625094 @default.
- W2114616509 hasConcept C192620184 @default.
- W2114616509 hasConcept C19736811 @default.
- W2114616509 hasConcept C24189920 @default.
- W2114616509 hasConcept C33923547 @default.
- W2114616509 hasConcept C44731940 @default.
- W2114616509 hasConcept C60092789 @default.
- W2114616509 hasConcept C64341305 @default.
- W2114616509 hasConcept C85393063 @default.
- W2114616509 hasConcept C91602232 @default.
- W2114616509 hasConceptScore W2114616509C105795698 @default.
- W2114616509 hasConceptScore W2114616509C106159729 @default.
- W2114616509 hasConceptScore W2114616509C117996083 @default.
- W2114616509 hasConceptScore W2114616509C13290067 @default.
- W2114616509 hasConceptScore W2114616509C149782125 @default.
- W2114616509 hasConceptScore W2114616509C162324750 @default.
- W2114616509 hasConceptScore W2114616509C187625094 @default.
- W2114616509 hasConceptScore W2114616509C192620184 @default.
- W2114616509 hasConceptScore W2114616509C19736811 @default.
- W2114616509 hasConceptScore W2114616509C24189920 @default.
- W2114616509 hasConceptScore W2114616509C33923547 @default.
- W2114616509 hasConceptScore W2114616509C44731940 @default.
- W2114616509 hasConceptScore W2114616509C60092789 @default.
- W2114616509 hasConceptScore W2114616509C64341305 @default.
- W2114616509 hasConceptScore W2114616509C85393063 @default.
- W2114616509 hasConceptScore W2114616509C91602232 @default.
- W2114616509 hasLocation W21146165091 @default.
- W2114616509 hasOpenAccess W2114616509 @default.
- W2114616509 hasPrimaryLocation W21146165091 @default.
- W2114616509 hasRelatedWork W1504796385 @default.
- W2114616509 hasRelatedWork W1545928614 @default.
- W2114616509 hasRelatedWork W180287977 @default.
- W2114616509 hasRelatedWork W1977477884 @default.
- W2114616509 hasRelatedWork W2004977392 @default.
- W2114616509 hasRelatedWork W2030034478 @default.
- W2114616509 hasRelatedWork W2115719767 @default.
- W2114616509 hasRelatedWork W2118975810 @default.
- W2114616509 hasRelatedWork W2140092920 @default.
- W2114616509 hasRelatedWork W2478629528 @default.
- W2114616509 hasRelatedWork W2563808743 @default.
- W2114616509 hasRelatedWork W2578663297 @default.
- W2114616509 hasRelatedWork W2890722001 @default.
- W2114616509 hasRelatedWork W3121876865 @default.
- W2114616509 hasRelatedWork W3122915356 @default.
- W2114616509 hasRelatedWork W3124035949 @default.
- W2114616509 hasRelatedWork W3125266524 @default.
- W2114616509 hasRelatedWork W3125997714 @default.
- W2114616509 hasRelatedWork W2147631167 @default.
- W2114616509 hasRelatedWork W3123863033 @default.
- W2114616509 isParatext "false" @default.
- W2114616509 isRetracted "false" @default.
- W2114616509 magId "2114616509" @default.
- W2114616509 workType "book-chapter" @default.