Asymptotics of forward implied volatility
We study asymptotics of forward-start option prices and the forward implied volatility smile using the theory of sharp large deviations (and refinements). In Chapter 1 we give some intuition and insight into forward volatility and provide motivation for the study of forward smile asymptotics. We num...
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Imperial College London
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.682108 |