Zhu, Yingzi; Avellaneda, Marco - In: Applied Mathematical Finance 4 (1997) 2, pp. 81-100
We construct a statistical model for the term-structure of implied volatilities of currency options based on daily historical data for 13 currency pairs over a 19-month period. We examine the joint evolution of 1 month, 2 month, 3 month, 6 month and 1 year at-the-money (50 δ) options in all the...
