Implied volatility from the term structure: a simple analytical approximation

DOI10.1016/S0165-1765(97)00231-0zbMath0904.90018OpenAlexW2021281938MaRDI QIDQ1127430

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

interest ratesterm structureimplied volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• An equilibrium characterization of the term structure
• Unnamed Item

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