Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps
Year of publication: |
July 2015
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Authors: | Byun, Suk Joon ; Chang, Ki Cheon |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 40.2015, p. 88-102
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Subject: | Volatility risk premium | Interest rate swap | Delta-hedged gain | Volatilität | Volatility | Risikoprämie | Risk premium | Zinsderivat | Interest rate derivative | Swap | Zins | Interest rate | Schätzung | Estimation |
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