Facoltà di scienze economiche

## Implied volatility surfaces for inverse gamma models

### Barone-Adesi, Giovanni ; Rasmussen, Henrik Obbekaer ; Ravanelli, Claudia

We study implied volatility surfaces when the squared volatility is driven by an inverse gamma process. We derive the first two conditional moments of the integrated volatility over the time to maturity to study theoretical term structure volatility patterns. We find that these patterns are in accordance with the empirical ones. Finally, we discuss some probabilistic properties of the volatility... More