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Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market
López, Raquel - In: International review of financial analysis 42 (2015), pp. 292-303
Persistent link: https://www.econbiz.de/10011573500
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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
Persistent link: https://www.econbiz.de/10011603288
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Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
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Treasury yield implied volatility and real activity
Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
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Interest rate volatility and risk management : evidence from CBOE Treasury options
Markellos, Raphaēl N.; Psychoyios, Dimitris - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 190-202
Persistent link: https://www.econbiz.de/10012034535
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Uncertainty about interest rates and the real economy
Qadan, Mahmoud; Shuval, Kerem; David, Or - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014485443
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Modeling volatility in dynamic term structure models
Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Journal of financial economics 161 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015075688
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A study of relevance of Black-Scholes model on option prices of Indian stock market
Srivastava, Anubha; Shastri, Manjula - In: International journal of governance and financial … 1 (2018) 1, pp. 82-104
Persistent link: https://www.econbiz.de/10012253558
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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Simplified option pricing techniques
Alghalith, Moawia; Floros, Christos; Poufinas, Thomas - In: Annals of financial economics 14 (2019) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012015473