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The mispricing of US treasury callable bonds
Carayannopoulos, Peter - In: The journal of futures markets 15 (1995) 8, pp. 861-879
Persistent link: https://www.econbiz.de/10001190840
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Examination of long-term Bond iShare option selling strategies
Simon, David P. - In: The journal of futures markets 30 (2010) 5, pp. 465-489
This article examines volatility trades in Lehman Brothers 20 Year US Treasury Index iShare (TLT) options from July …
Persistent link: https://www.econbiz.de/10003962639
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The implied volatility of US interest rates : evidence from callable US treasuries
Bliss, Robert R.; Ronn, Ehud I. - 1995
Persistent link: https://www.econbiz.de/10000925735
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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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Callable US treasury bonds : optimal calls, anomalies, and implied volatilities
Bliss, Robert R. - In: The journal of business : B 71 (1998) 2, pp. 211-252
Persistent link: https://www.econbiz.de/10001239857
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Callable US treasury bonds : optimal calls, anomalies, and implied volatilities
Bliss, Robert R.; Ronn, Ehud I. - 1997
Persistent link: https://www.econbiz.de/10000975260
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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Model risk adjusted hedge ratios
Alexander, Carol; Kaeck, Andreas; Nogueira, Leonardo M. - In: The journal of futures markets 29 (2009) 11, pp. 1021-1049
Persistent link: https://www.econbiz.de/10003900965
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Option markets and implied volatility : past versus present
Mixon, Scott - In: Journal of financial economics 94 (2009) 2, pp. 171-191
Persistent link: https://www.econbiz.de/10003906341
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Intermediate volatility forecasts using implied forward volatility : the performance of selected agricultural commodity options
Egelkraut, Thorsten Michael; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 31 (2006) 3, pp. 508-528
Persistent link: https://www.econbiz.de/10003416262