✦ LIBER ✦

Implied Volatility: Options

✍ Scribed by Albert Madansky and Gary L. Gastineau

Book ID: 124933837
Publisher: CFA Institute
Year: 1986
Tongue: English
Weight: 236 KB
Volume: 42
Category: Article
ISSN: 0015-198X
DOI: 10.2307/4478923

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## Abstract This study proposes the implied deterministic volatility function (IDVF) for the volatility as the function of moneyness and time in the Heath, Jarrow, and Morton (1992) model to price and hedge Euribor options across moneyness and maturities from 1 January 2003 to 31 December 2005. The