European Business Schools Librarian's Group
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 00-1: Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen () and Charlotte Strunk Hansen
Additional contact information
Charlotte Christiansen: Department of Finance, Aarhus School of Business, Postal: The Aarhus School of Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Charlotte Strunk Hansen: School of Economics and Management, Postal: University of Aarhus, Universitetsparken, 8000 Aarhus C, Denmark
Abstract: ==
Keywords: Implied volatility; Interest rate options; Market efficiency; Market model; Volatility forecasting; Zero-coupon bond options
38 pages, January 1, 2000
- University of Aarhus, Aarhus School of Business, Department of Business Studies
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