Browse OFOR Working Paper Series by Series/Report "OFOR Working Paper Series, no. 99-06"

  • 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, ...


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