Forward implied volatility expansion in time-dependent local volatility models******
We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small. We use a conditional expectation argument to represen...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2014-09-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | http://dx.doi.org/10.1051/proc/201445009 |