An E-ARCH model for the term structure of implied volatility of FX options

Applied Mathematical Finance

Volumn 4, Issue 2, 1997, Pages 81-100

  Zhu, Yingzi ^a   Avellaneda, Marco ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

ARCH; currency options; E ARCH; term structure of volatility

Indexed keywords

EID: 0005964277     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504869700000001     Document Type: Editorial

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