Munich Personal RePEc Archive
metadata only
Path-conditional forward volatility
In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on the
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- A Classification Theorem for Admissible Standard-Model Structures#714398
- The Field Equations of Penalized non-Parametric Regression#1014496
- gasparrini/2010_gasparrini_StatMed_Rcode#1359018
- WHAT GOOD IS A VOLATILITY MODEL?#942344
- The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment#778177
Record · ID 1276197
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive