Implied Volatility of interest rate options: an empirical investigation of the market model
type: Item
instance of: scholarly article
title: Implied Volatility of interest rate options: an empirical investigation of the market model
zbMATH Open document ID: 1069.91046
DOI: 10.1023/A:1013860216764
author: Charlotte Christiansen
author: Charlotte Strunk Hansen
published in: Review of Derivatives Research
publication date: 2003-12-18T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 2019690
zbMATH Keywords: LIBOR market model
zbMATH Keywords: market efficiency
zbMATH Keywords: volatility forecasting
zbMATH Keywords: zero-coupon bond options
MaRDI profile type: Publication
full work available at URL: a:1013860216764
OpenAlex ID: W3122258733
Recommended article: Option pricing under stochastic interest rates: an empirical investigation
Recommended article: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
Recommended article: Risk premiums in a simple market model for implied volatility
Recommended article: A market model for stochastic implied volatility
Recommended article: Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
Recommended article: Interest rate option pricing with volatility humps
Recommended article: An empirical model of volatility of returns and option pricing
Recommended article: Q4672379
description: scientific article; zbMATH DE number 2019690