The Volatility Term Structure in the SV Model
Document ID: 2007-55 (previously 2007/002)
Published on: 1st January 2007
Author: Steven Morrison
In this note we derive analytic expressions for the variance of log-returns over different time horizons, under a stochastic model for (short-term) volatility. These results can be useful in calibrating a simpler model (such as a straightforward lognormal model) in such a way that it is consistent with the SV model, for a particular time horizon.
