Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
| Year of publication: |
2000-01-01
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| Authors: | Christiansen, Charlotte ; Strunk Hansen, Charlotte |
| Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
| Subject: | Implied volatility | Interest rate options | Market efficiency | Market model | Volatility forecasting | Zero-coupon bond options |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Working Papers Number 00-1 38 pages |
| Source: |
Persistent link: https://www.econbiz.de/10005802125