Calculation of Forward Volatility under Deterministic Volatility
Submitted by loner on 30 October, 2007 - 1:08pm
Forward Vol = sqrt[{ Vol_b ^ 2 * b - Vol_a ^ 2 * a } /(b - a)]
Where time a and time b are dates in the future and a < b. Vol_b is the implied or actual volatility at time b and Vol_a is the implied or actual volatility at time a.
What did I say then?
Tung makes inquiries over threats (7 years 36 weeks ago):
Stanley Ho is a guy with a virtue......
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