Important Notice: Our web hosting provider recently started charging us for additional visits, which was unexpected. In response, we're seeking donations. Depending on the situation, we may explore different monetization options for our Community and Expert Contributors. It's crucial to provide more returns for their expertise and offer more Expert Validated Answers or AI Validated Answers. Learn more about our hosting issue here.

Can Fixed Passage Time Models Explain the Volatility Smile?

April 26, 2017explain fixed models Passage Smile time volatility

0

Posted

Can Fixed Passage Time Models Explain the Volatility Smile?

1 Answer

0

Posted

Fixed passage time models have been suggested as being useful in explaining the variation in volatility of interest rates. We examine whether, in fact, this is a useful approach. Sponsor: State of Oklahoma PIs: Timothy L. Krehbiel and Lee C.