Work

Implied volatility functions in arbitrage-free term structure models

Year: 1994

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/0304-405x(94)90002-7

Authors: Kaushik I. Amin, Andrew J. Morton

Institutions: University of Michigan, University of Illinois Chicago

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2055110381

FWCI: 27.7

Cites: 29

Cited by: 206

Related to: 10