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The implied volatility term structure of stock index options · Study

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ArticleThe implied volatility term structure of stock index options

Scott Mixon2007

OA

Articlegreen2007

The implied volatility term structure of stock index options

70 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2000Post-'87 crash fears in the S&P 500 futures option market 1987The Pricing of Options on Assets with Stochastic Volatilities 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium

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Details

Year2007

Typearticle

Published2007-02-03

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations70

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2006.06.003

openalex_workW2118333202

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2014The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components

2013VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation