Implied Remaining Variance in Derivative Pricing
Implied Remaining Variance in Derivative Pricing
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衍生品定价中的隐含剩余方差
DOI：
10.3905/jfi.2014.23.4.019
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Jian Sun
中科院分区：
文献类型：
--
作者：
P. Carr;Jian Sun
在这篇文章中，作者给出了一种利用著名的二次根公式计算封闭形式的掉期隐含波动率曲线的方法。封闭形式的表达式有三个自由参数，它们简明地控制着远期掉期指标下隐含波动率的假设动态。初步的实证研究表明，该曲线与掉期市场吻合得很好(尽管不是很完美)。与以前的随机隐含波动率模型不同，当前的模型对瞬时波动率的动态没有影响。
In this note, the authors give a way to calculate a swaption-implied volatility curve in closed form via the well-known quadratic root formula. The closed-form expression has three free parameters, which parsimoniously govern the assumed dynamics of implied volatility under forward swap measure. Preliminary empirical work suggests the curve fits the swaptions market well (although not perfectly). Unlike previous models of stochastic implied volatility, the current model has no implications for the dynamics of instantaneous volatility.