term structure of volatility

  1. R

    Tuckman Chapter 9 : Term Structure of Volatility

    In "The Art of Term Structure Models : Drift" Tuckman mentions regarding term structure of volatility that: "The term structure of volatility in Model 1 is constant at 113 basis points." He also mentions that the Model 2 and the Ho-Lee, both do not change the term structure of volatility...
Top