Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps
Suk Joon Byun, Ki Cheon Chang (Korea Advanced Institute of Science and Technology, Republic of Korea)
| Year of publication: |
July 2015
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|---|---|
| Authors: | Byun, Suk Joon ; Chang, Ki Cheon |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 40.2015, p. 88-102
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| Subject: | Volatility risk premium | Interest rate swap | Delta-hedged gain | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Risikoprämie | Risk premium | Swap | Zins | Interest rate | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2015.03.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011475633