Volatility of Volatility of Financial Markets
نویسندگان
چکیده
We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant. We use a previous development of a statistical mechanics of financial markets (SMFM) to model these issues. Ke ywords: options; eurodollar; volatility; statistical mechanics
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تاریخ انتشار 2001