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Term Structure of Volatility
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A curve, broadly analogous in purpose to an interest rate yield curve, which illustrates the relationship of yield or price volatility to maturity or duration. Much like the term structure of interest rates, the curve illustrates the pattern of implied volatilities of representative (usually at the money) options as option maturities extend forward. A term structure can be calculated or estimated for any strike, spot or forward. Compare with Smile (diagram), Skew. See also Dupire-Derman-Rubinstein Models.
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