Forward Implied Volatilities

Name: Forward Implied Volatilities
Creator: Jawwad Ahmed Farid
Keywords: 13. Climate action

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2015 English Publisher:Palgrave Macmillan UK

Authors: Jawwad Ahmed Farid;

doi: 10.1057/9781137371676_9

Forward Implied Volatilities

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Abstract

For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities implied in current market option prices.

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