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Language: en
Pages: 28
Pages: 28
Type: BOOK - Published: 1994 - Publisher:
Language: en
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Type: BOOK - Published: 1998 - Publisher:
This paper tests the expectations hypothesis in the term structure of volatilities in foreign exchange options. In particular, it addresses whether long-dated v
Language: en
Pages: 20
Pages: 20
Type: BOOK - Published: 1993 - Publisher:
Language: en
Pages:
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Type: BOOK - Published: 2010 - Publisher:
Using a stochastic volatility option pricing model, we show that the implied volatilities of at-the-money options are not necessarily unbiased and that the fixe
Language: en
Pages: 28
Pages: 28
Type: BOOK - Published: 1994 - Publisher: