The Term Structure of S&P100 Model-Free Volatilities

Author

Kian Guan LIM, Singapore Management UniversityFollow
Hian Ann, Christopher TING, Singapore Management UniversityFollow

Publication Type

Journal Article

Publication Date

2013

Discipline

Finance and Financial Management

Publication

Quantitative Finance

Volume

13

Issue

7

First Page

1041

Last Page

1058

ISSN

1469-7688

Identifier

10.1080/14697688.2012.751493

Publisher

Taylor and Francis

Citation

LIM, Kian Guan and TING, Hian Ann, Christopher. The Term Structure of S&P100 Model-Free Volatilities. (2013). Quantitative Finance. 13, (7), 1041-1058.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3422

Additional URL

https://doi.org/10.1080/14697688.2012.751493