A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is
Finance at Fields
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 (forthcoming) allows calibration of thedoi:10.1142/9789814407892_0018 fatcat:33kvbilkovbojex2y6nabdqhgm