The Term Structure of Volatility Implied by Foreign Exchange Options
用回归和卡尔曼滤波方法，从1985-1989年四种货币的期权价格中估计短期和长期波动率预期，发现两者差异显著，可用于OTC期权定价和检验市场过度反应假说。
This paper illustrates regression and Kalman filtering methods for estimating the time-varying term structure of volatility expectations revealed by options prices. Short- and long-term expectations are estimated for four currencies using daily PHLX options prices from 1985 to 1989. Throughout this period, there were important differences between shortand long-term expectations. The slope of the term structure changed frequently and there were significant variations in long-term volatility expectations. The expectation estimates can be used to value OTC options, to improve hedging strategies, and to test the hypothesis that the options market overreacts.