Forward implied volatility expansions in LSV models

Martini, Paolo (2013) Forward implied volatility expansions in LSV models. [Laurea magistrale], Università di Bologna, Corso di Studio in Matematica [LM-DM270]
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In this work we address the problem of finding formulas for efficient and reliable analytical approximation for the calculation of forward implied volatility in LSV models, a problem which is reduced to the calculation of option prices as an expansion of the price of the same financial asset in a Black-Scholes dynamic. Our approach involves an expansion of the differential operator, whose solution represents the price in local stochastic volatility dynamics. Further calculations then allow to obtain an expansion of the implied volatility without the aid of any special function or expensive from the computational point of view, in order to obtain explicit formulas fast to calculate but also as accurate as possible.

Tipologia del documento
Tesi di laurea (Laurea magistrale)
Autore della tesi
Martini, Paolo
Relatore della tesi
Corso di studio
Curriculum B: Applicativo
Ordinamento Cds
Parole chiave
forward implied volatility local stochastic models
Data di discussione della Tesi
13 Dicembre 2013

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