Implied volatility from the term structure: a simple analytical approximation

DOI10.1016/S0165-1765(97)00231-0MaRDI QIDQ1127430zbMATH OpenOpenAlexFDO

Authors James M. Steeley

Publication date 13 August 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(97)00231-0

zbMATH Keywords

implied volatilityinterest ratesterm structure

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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• An equilibrium characterization of the term structure
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Cited in

(9)

• A note on the term structure of implied volatilities for the yen/U.S. Dollar currency option
• Implied volatility functions in arbitrage-free term structure models.
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• An E-ARCH model for the term structure of implied volatility of FX options
• The implied forward rate as an indicator of disturbances in Polish interbank market
• Risk premiums in a simple market model for implied volatility
• Extracting implied volatilities from bank bonds
• A novel term-structure-based Heston model for implied volatility surface
• Interest rate option pricing and volatility forecasting: an application to Brazil

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