Spanned Stochastic Volatility in Bond Markets : A Reexamination of the Relative Pricing between Bonds and Bond Options
Year of publication: |
2014
|
---|---|
Authors: | Kim, Don H. |
Publisher: |
[S.l.] : SSRN |
Subject: | Rentenmarkt | Bond market | Volatilität | Volatility | Schätzung | Estimation | Optionsanleihe | Warrant bond | Zinsstruktur | Yield curve | Relativer Preis | Relative price | Anleihe | Bond |
Extent: | 1 Online-Ressource (40 p) |
---|---|
Series: | BIS Working Paper ; No. 239 |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: | ECONIS - Online Catalogue of the ZBW |
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