The Term Structure of Implied Volatility

Alan Lewis

Chapter 6 in Option Valuation under Stochastic Volatility, 2000 from Finance Press

Abstract: This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.

Keywords: option pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2000
Note: Fig.6.6 curves are correctly labeled 'rho', not 'r' in the printed book.
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