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Amin et al., 1997 - Google Patents

Inferring future volatility from the information in implied volatility in Eurodollar options: A new approach

Amin et al., 1997

Document ID
13972386570520520620
Author
Amin K
Ng V
Publication year
Publication venue
The Review of Financial Studies

External Links

Snippet

We study the information content of implied volatility from several volatility specifications of the (HJM) models relative to popular historical volatility models in the Eurodollar options market. The implied volatility from the HJM models explains much of the variation of realized …
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