w******y
发帖数: 8 | 1 May I ask that what is the 'future and forward volatility surface' for? I
have googled this term, but the explanations are fragmented and not clear at
all. I only know 'volatility surface' is also called 'Dupire-Derman-Kani surface'
, which represents the values of implied volatility in the market.
Does the 'future volatility surface' is the same with 'forward volatility
surface'? Or they are completely different? And what is the modeling of '
future and forward volatility surface' for in the ma | l*****i
发帖数: 3929 | 2 找本书从头好好看，这个东西三言两语是说不清楚的
at
surface'
【在 w******y 的大作中提到】
: May I ask that what is the 'future and forward volatility surface' for? I
: have googled this term, but the explanations are fragmented and not clear at
: all. I only know 'volatility surface' is also called 'Dupire-Derman-Kani surface'
: , which represents the values of implied volatility in the market.
: Does the 'future volatility surface' is the same with 'forward volatility
: surface'? Or they are completely different? And what is the modeling of '
: future and forward volatility surface' for in the ma
| z****u
发帖数: 185 | 3 volatility surface: implied volatility as a function of strike and time.
This surface is constructed by the CURRENT market data.
Imagine someone asks you to price a forward starting option ( i.e., the option starts,
say, 3 months from now on, and ends after another 1 year ), the corresponding implied
vol of this option gives the forward volatility surface.
People/models must agree with the current vol surface. But different models can give
very different forward vol surface. Since there is no l | T*******t
发帖数: 9274 | 4 书里一般也不愿说得太清楚。
【在 l*****i 的大作中提到】
: 找本书从头好好看，这个东西三言两语是说不清楚的
:
: at
: surface'
| w******y
发帖数: 8 | 5 Thanks very much, zouzou! It really helps, eps. the example!
And also thanks for others' suggestions!
option starts,
corresponding implied
models can give
forward
except some
different from the
【在 z****u 的大作中提到】
: volatility surface: implied volatility as a function of strike and time.
: This surface is constructed by the CURRENT market data.
: Imagine someone asks you to price a forward starting option ( i.e., the option starts,
: say, 3 months from now on, and ends after another 1 year ), the corresponding implied
: vol of this option gives the forward volatility surface.
: People/models must agree with the current vol surface. But different models can give
: very different forward vol surface. Since there is no l
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