A Stochastic Model for Changes in Option-Implied Equity Volatility
Document ID: 2004-60 (previously 2004/010)
Published on: 1st December 2004
Author: Craig Turnbull
A Stochastic Model for Changes in Option-Implied Equity Volatility The ESG does not currently include stochastic modelling of the changes in option-implied equity volatilities. This note briefly discusses how the ESG modelling can be extended to incorporate the stochastic modelling of 1-year changes in option-implied long-term equity volatility.
