Volatility level dependence and linear-rational term structure models
Year of publication: |
2022
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Authors: | Backwell, Alex ; Ramnarayan, Kalind |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 58.2022, 13, p. 3622-3638
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Subject: | Interest-rate volatility | linear-rational models | term structure models | volatility-level dependence | Zinsstruktur | Yield curve | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Schätzung | Estimation | Optionspreistheorie | Option pricing theory |
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