On the implied volatility layers under the future risk-free rate uncertainty

On the implied volatility layers under the future risk-free rate uncertainty

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios. We consider the setting where both the implied volatility and...

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Bibliographic Details
Main Authors: Hin, L., Dokuchaev, Nikolai
Format: Journal Article
Published: INDERSCIENCE PUBLISHERS 2014
Subjects:
interest rate term structure
implied volatility layers
implied volatility surfaces
model uncertainty
Online Access:http://hdl.handle.net/20.500.11937/22516

Internet

http://hdl.handle.net/20.500.11937/22516

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