Ian O'Connor

University of Melbourne

Lecturer

Faculty of Economics and Commerce

Parkville, Victoria 3010 3010

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

1

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196

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Scholarly Papers (1)

1.

Time to Maturity Volatility: An Application to Index Derivatives

Number of pages: 39 Posted: 23 Jun 2006
Ian O'Connor and Kim R. Sawyer
University of Melbourne and University of Melbourne - School of Historical and Philosophical Studies
Downloads 196 (180,535)

Abstract:

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Time to maturity, volatility distribution, threshold estimator