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A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang; Xiu, Dacheng - 2014
Persistent link: https://www.econbiz.de/10010434036
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The information content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - 2011
Persistent link: https://www.econbiz.de/10009501966
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Jump-diffusion term structure and Itô conditional moment generator
Zhou, Hao - 2001
Persistent link: https://www.econbiz.de/10001607156
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Option prices with uncertain fundamentals : theory and evidence on the dynamics of implied volatilities
David, Alexander; Veronesi, Pietro - 1999
Persistent link: https://www.econbiz.de/10001426915
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The effects of volatility on liquidity in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
Persistent link: https://www.econbiz.de/10014284237
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The informational content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - 2012
Persistent link: https://www.econbiz.de/10010424595
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The pricing kernel in options
Heston, Steven L.; Jacobs, Kris; Kim, Hyung Joo - 2023
Persistent link: https://www.econbiz.de/10014385050
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Options on interbank rates and implied disaster risk
Doshi, Hitesh; Kim, Hyung Joo; Seo, Sang Byung - 2023
Persistent link: https://www.econbiz.de/10014385054
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Flow and stock effects of large-scale treasury purchases
D'Amico, Stefania; King, Thomas B. - 2010
Persistent link: https://www.econbiz.de/10008669999
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Tips from TIPS : the informational content of Treasury inflation-protected security prices
D'Amico, Stefania; Kim, Don H.; Wei, Min - 2010
Persistent link: https://www.econbiz.de/10003989903