Effect of liquidity on the implied volatility surface in interest rate options markets
| Year of publication: |
2017
|
|---|---|
| Authors: | Kim, Kwanho |
| Published in: |
Global Business & Finance Review (GBFR). - Seoul : People & Global Business Association (P&GBA), ISSN 2384-1648. - Vol. 22.2017, 3, p. 45-60
|
| Publisher: |
Seoul : People & Global Business Association (P&GBA) |
| Subject: | Eurodollar Futures Options | Implied Volatility | Volatility Smile | Liquidity |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Article |
| Language: | English |
| Other identifiers: | 10.17549/gbfr.2017.22.3.45 [DOI] 1023399210 [GVK] hdl:10419/224377 [Handle] |
| Source: |
Persistent link: https://www.econbiz.de/10012286633