Byoun, Soku; Kwok, Chuck C.Y.; Park, Hun Y.(Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-09)
Previous studies have tested the expectations hypothesis of the term structure of implied
volatility using xed-interval time-series of at-the-money options. We show, using a
stochastic volatility option pricing model, ...