Brooks, Chris; Oozeer, M. Currim - In: Journal of Business Finance & Accounting 29 (2002) 1&2, pp. 111-137
This paper investigates the properties of implied volatility series calculated from options on Treasury bond futures, traded on LIFFE. We demonstrate that the use of near-maturity at the money options to calculate implied volatilities causes less mis-pricing and is therefore superior to, a...