Barone-Adesi, Giovanni Rasmussen, Henrik Obbekaer Ravanelli, Claudia 2002 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 process. application/pdf https://susi.usi.ch/global/documents/317975 https://n2t.net/ark:/12658/srd1317975 https://susi.usi.ch/documents/317975/files/1_fin0209.pdf eng info:eu-repo/semantics/altIdentifier/ark/12658/srd1317975 info:eu-repo/semantics/openAccess License undefined info:eu-repo/classification/udc/33 Implied volatility surfaces for inverse gamma models http://purl.org/coar/resource_type/c_816b