Implied Volatility of interest rate options: an empirical investigation of the market model (Q1417031)
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scientific article; zbMATH DE number 2019690
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| English | Implied Volatility of interest rate options: an empirical investigation of the market model |
scientific article; zbMATH DE number 2019690 |
Statements
Implied Volatility of interest rate options: an empirical investigation of the market model (English)
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18 December 2003
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LIBOR market model
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market efficiency
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volatility forecasting
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zero-coupon bond options
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0.8960849
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0.8935005
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0.8896959
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0.88683546
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0.88331753
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