Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Year of publication: |
2000-01-01
|
---|---|
Authors: | Christiansen, Charlotte ; Strunk Hansen, Charlotte |
Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
Subject: | Implied volatility | Interest rate options | Market efficiency | Market model | Volatility forecasting | Zero-coupon bond options |
-
Arbitrage-free market models for option prices: the multi-strike case
Schweizer, Martin, (2008)
-
Mokoaleli-Mokoteli, Thabang, (2019)
-
The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel, (2014)
- More ...
-
Regime Switching in the Yield Curve
Christiansen, Charlotte, (2002)
-
Christiansen, Charlotte, (2001)
-
The Educational Asset Market: A Finance Perspective on Human Capital Investment
Christiansen, Charlotte, (2003)
- More ...