Riding the swaption curve
Johan Duyvesteyn, Gerben de Zwart
| Year of publication: |
October 2015
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|---|---|
| Authors: | Duyvesteyn, Johan ; Zwart, Gerben Jacobus de |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 59.2015, p. 57-75
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| Subject: | Volatility risk premium | Term structure | Swaptions | Straddles | Bonds | Interest rate derivatives | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Anleihe | Bond | Swap | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.05.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544291