Cross-dynamics of volatility term structures implied by foreign exchange options

Journal of Economics and Business

Volumn 61, Issue 5, 2009, Pages 355-375

  Krylova, Elizaveta ^a   Nikkinen, Jussi ^b   Vähämaa, Sami ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF VAASA   (Finland)

Author keywords

Foreign exchange options; Implied volatility; Volatility term structure

Indexed keywords

EID: 67650718206     PISSN: 01486195     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconbus.2009.01.002     Document Type: Article

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