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Term of Structure of Implied Volatility Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Risk management, Options (Finance), Derivative securities
- Item Type:
- Presentation
- Tag(s):
- Implied volatility, VAR, derivative valuation
- Permanent URL:
- https://doi.org/10.17613/8d2c-dq57
- Abstract:
- Equity value at risk (VaR) model requires implied volatilities with respect to various indices and maturities, which range from three months to five years. A model is presented for generating a term-structure of implied equity index volatilities for use in calculating VaR.
- Notes:
- https://www.slideserve.com/dmitrypopov
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 weeks ago
- License:
- All-Rights-Granted
- Share this:
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volatilitymodel.pdf