An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options
Turan G. Bali
| Year of publication: |
2007
|
|---|---|
| Authors: | Bali, Turan G. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 53.2007, 2, p. 323-339
|
| Subject: | Zins | Interest rate | Volatilität | Volatility | ARCH-Modell | ARCH model | Operations Research | Operations research | USA | United States |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003435740