An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options
Year of publication: |
2007
|
---|---|
Authors: | Bali, Turan G. |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 53.2007, 2, p. 323-339
|
Subject: | Zins | Interest rate | Volatilität | Volatility | ARCH-Modell | ARCH model | Operations Research | Operations research | USA | United States |
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