The implied volatility term structure of stock index options

Journal of Empirical Finance

Volumn 14, Issue 3, 2007, Pages 333-354

  Mixon, Scott ^a  

^a Bates White LLC   (United States)

Author keywords

Expectations hypothesis; Implied volatility; Volatility risk premium; Volatility term structure

Indexed keywords

EID: 34247263413     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.06.003     Document Type: Article

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