Implied Volatility of interest rate options: an empirical investigation of the market model

DOI10.1023/A:1013860216764zbMath1069.91046OpenAlexW3122258733MaRDI QIDQ1417031

Charlotte Christiansen, Charlotte Strunk Hansen

Publication date: 18 December 2003

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013860216764

zbMATH Keywords

market efficiencyvolatility forecastingLIBOR market modelzero-coupon bond options

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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