scholarly journals The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components

2014 ◽  
Vol 34 (8) ◽  
pp. 788-806 ◽  
Author(s):  
Biao Guo ◽  
Qian Han ◽  
Bin Zhao
Keyword(s):  
Term Structure ◽  
Implied Volatility

Forward/forward volatilities and the term structure of implied volatility

1997 ◽  
Vol 4 (5) ◽  
pp. 325-328 ◽  
Author(s):  
Owain Ap Gwilym ◽  
Mike Buckle
Keyword(s):  
Term Structure ◽  
Implied Volatility

Term structure analysis of option implied volatility in the Brazilian market

2017 ◽  
Vol 11 ◽  
pp. 651-664
Author(s):  
Carlos Heitor Campani ◽  
Carlos Eduardo Fucci
Keyword(s):  
Term Structure ◽  
Structure Analysis ◽  
Implied Volatility

CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE

2015 ◽  
Vol 18 (06) ◽  
pp. 1550036 ◽  
Author(s):  
ELISA ALÒS ◽  
RAFAEL DE SANTIAGO ◽  
JOSEP VIVES
Keyword(s):  
Term Structure ◽  
Implied Volatility ◽  
Order Approximation ◽  
Calibration Procedure ◽  
Computational Effort ◽  
Heston Model ◽  
Option Prices ◽  
Volatility Models ◽  
Short And Long Term ◽  
Long Term Behavior

In this paper, we present a new, simple and efficient calibration procedure that uses both the short and long-term behavior of the Heston model in a coherent fashion. Using a suitable Hull and White-type formula, we develop a methodology to obtain an approximation to the implied volatility. Using this approximation, we calibrate the full set of parameters of the Heston model. One of the reasons that makes our calibration for short times to maturity so accurate is that we take into account the term structure for large times to maturity: We may thus say that calibration is not "memoryless," in the sense that the option's behavior far away from maturity does influence calibration when the option gets close to expiration. Our results provide a way to perform a quick calibration of a closed-form approximation to vanilla option prices, which may then be used to price exotic derivatives. The methodology is simple, accurate, fast and it requires a minimal computational effort.

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