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

Charlotte Christiansen and Charlotte 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)
Pages: 38 pages
Date: 2000-01-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hhb:aarfin:2000_001

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