INTEREST RATES -- NORMAL OR LOGNORMAL? Interest rates do not behave as if they follow a lognormal interest rate distribution, as is typically assumed in option-adjusted spread models, but rather behave with non-linear rate directionality. Incorporating this directionality allows for a robust description of the term structure of volatility, and allows skewness to occur naturally. The typical ...
| Year of publication: |
2003
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| Authors: | Ho, Jeffrey ; Goodman, Laurie |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 13.2003, 2, p. 33-45
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