Bibliographic Details
| Title: |
An approximation formula for normal implied volatility under general local stochastic volatility models. |
| Authors: |
Karami, Yasaman1, Shiraya, Kenichiro1 kenichiro.shiraya@gmail.com |
| Source: |
Journal of Futures Markets. Sep2018, Vol. 38 Issue 9, p1043-1061. 19p. |
| Subject Terms: |
*Market volatility, *Stochastic models, *Stock exchanges, *Monte Carlo method, Asymptotic expansions |
| Abstract: |
We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we applied our framework to polynomial local stochastic volatility models with various degrees and could replicate the swaptions market data accurately. In addition we examined the accuracy of the results by comparison with the Monte‐Carlo simulations. [ABSTRACT FROM AUTHOR] |
|
Copyright of Journal of Futures Markets is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| Database: |
Business Source Complete |
|
Full text is not displayed to guests. |
Login for full access.
|
