𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The term structure of S&P 100 model-free volatilities

✍ Scribed by Lim, Kian-Guan; Ting, Christopher

Book ID
127255701
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
939 KB
Volume
13
Category
Article
ISSN
1469-7688

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

International evidence on alternative mo
International evidence on alternative models of the term structure of volatilities
✍ Antonio DΓ­az; Vicente Meneu; Eliseo Navarro πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 925 KB

## Abstract The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at‐the‐money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both