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Monetary Policy and Bond Option Pricing in an Analytical RBC Model
Söderlind, Paul - 2013
This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting
Persistent link: https://www.econbiz.de/10013095887
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Applied mathematical finance
Abingdon : Routledge, Taylor & Francis Group; -1997: …; … - 1.1994 -
Persistent link: https://www.econbiz.de/10000547907
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Malden, Mass. [u.a] : Wiley-Blackwell; 1991-2007: … - 1.1991 -
Persistent link: https://www.econbiz.de/10000497062
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Advances in futures and options research : a research annual
Stamford, Conn. : JAI Press; 1987-1998: Greenwich, … - 2.1987 - 3.1988; 4.1990 -
Persistent link: https://www.econbiz.de/10000501985
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Hedging options in GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000147446
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An evaluation of UK investment trusts as contingent claims : a theoretical investigation
Emerson, Rebecca - 1994
Persistent link: https://www.econbiz.de/10000147733
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Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger; Stremme, Alexander - 1993
Persistent link: https://www.econbiz.de/10000412479
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Hedging of non-redundant contingent claims
Föllmer, Hans; Sondermann, Dieter - 1985
Persistent link: https://www.econbiz.de/10000419745
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Bewertung von Optionen auf Zinskontrakte
Madjlessi, Foruhar - 1992
Persistent link: https://www.econbiz.de/10000347029
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Options, futures, and other derivative securities
Hull, John - 1989
Persistent link: https://www.econbiz.de/10000083643