Download This PaperVolatility of Volatility of Financial Markets
DRW-98-1-VVFM
26 Pages Posted: 22 Apr 1998
There are 2 versions of this paper
Volatility of Volatility of Financial Markets
Volatility of Volatility of Financial Markets
Date Written: 1998
Abstract
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.
JEL Classification: C32, C53, C61, C63
Suggested Citation: Suggested Citation
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