Maximum Implied Variance Slope - Practical Aspects
نویسندگان
چکیده
منابع مشابه
Implied Remaining Variance in Derivative Pricing
J ia n Su n is an executive director at a large financial institution in N ew York, NY. [email protected] C onsider a call swaption m aturing at tim e T > 0 w ritten on an underly ing swap m aturing at a later tim e T' > T. Let A t(T,T') be the spot price at time t e [0,T] o f a forward starting annuity whose payments begin at T and end at T'. Let F (T ,T ') be the forward swap rate at tim e...
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2023
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4430177