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Stochastic Models of Implied Volatility Surfaces

✍ Scribed by Rama Cont; Jose da Fonseca; Valdo Durrleman

Book ID: 108557607
Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 184 KB
Volume: 31
Category: Article
ISSN: 0391-5026
DOI: 10.1111/1468-0300.00090

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This study evaluates two one-factor, two two-factor, and two three-factor implied volatility functions in the HJM class, with the use of eurodollar futures options across both strike prices and maturities. The primary contributions of this article are (a) to propose and test three implied volatility