Heynen, Ronald; Kemna, Angelien; Vorst, Ton - In: Journal of Financial and Quantitative Analysis 29 (1994) 01, pp. 31-56
From various empirical work, it is well known that the volatility of asset returns changes over time. This might be one of the reasons that implied volatilities differ for options that only differ in time to maturity. We construct models for the relation between short- and long-term implied...
