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Original Articles

Forward/forward volatilities and the term structure of implied volatility

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Pages 325-328 | Received 21 Feb 1996, Published online: 02 Nov 2006

References

  • Black , F. 1976 . The pricing of commodity contracts . Journal of Financial Economics , 3 : 167 – 79 .
  • Campa , J. M. and Chang , P. H. K. 1995 . Testing the expectations hypothesis on the term structure of volatilities in foreign exchange options . Journal of Finance , 50 : 529 – 47 .
  • Diz , F. and Finucane , T. 1993 . Do the options markets really overreact . Journal of Futures Markets , 13 : 299 – 312 .
  • Heynen , R. , Kemna , A. and Vorst , T. 1994 . Analysis of the term structure of implied volatilities . Journal of Financial and Quantitative Analysis , 29 : 31 – 56 .
  • Poterba , J. M. and Summers , L. H. 1986 . The persistence of volatility and stock market fluctuations . American Economic Review , 76 : 1142 – 51 .
  • Stein , J. 1989 . Overreactions in the options market . Journal of Finance , 44 : 1011 – 23 .
  • Xu , X. and Taylor , S. J. 1994 . The term structure of volatility implied by foreign exchange options . Journal of Financial and Quantitative Analysis , 29 : 57 – 74 .

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