Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model

Charlotte Christiansen and Charlotte Strunk Hansen

No 00-1, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: ==

Keywords: Implied volatility; Interest rate options; Market efficiency; Market model; Volatility forecasting; Zero-coupon bond options (search for similar items in EconPapers)
Date: Written 2000-01-01
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