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Implied Interest Rates

Author

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  • Brenner, Menachem
  • Galai, Dan

Abstract

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Suggested Citation

  • Brenner, Menachem & Galai, Dan, 1986. "Implied Interest Rates," The Journal of Business, University of Chicago Press, vol. 59(3), pages 493-507, July.
    • Handle: RePEc:ucp:jnlbus:v:59:y:1986:i:3:p:493-507
    DOI: 10.1086/296349
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    Citations

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    Cited by:

    1. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
    2. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    3. Michele Azzone & Roberto Baviera, 2020. "Synthetic forwards and cost of funding in the equity derivative market," Papers 2011.03795, arXiv.org, revised Jan 2022.
    4. Vesa Puttonen, 1992. "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 117-128, Autumn.
    5. George M. Frankfurter & Wai K. Leung, 1991. "Further Analysis Of The Put-Call Parity Implied Risk-Free Interest Rate," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 217-232, September.
    6. Azzone, Michele & Baviera, Roberto, 2021. "Synthetic forwards and cost of funding in the equity derivative market," Finance Research Letters, Elsevier, vol. 41(C).
    7. Brenner, Menachem & Eom, Young Ho & Landskroner, Yoram, 1996. "Implied foreign exchange rates using options prices," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 171-183.
    8. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
    9. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
    10. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    11. William Pedersen, 1998. "Capturing all the information in foreign currency option prices: solving for one versus two implied variables," Applied Economics, Taylor & Francis Journals, vol. 30(12), pages 1679-1683.
    12. Zghal, Imen & Ben Hamad, Salah & Eleuch, Hichem & Nobanee, Haitham, 2020. "The effect of market sentiment and information asymmetry on option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    13. Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers 4519, National Bureau of Economic Research, Inc.
    14. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
    15. Richard M. Levich, 1989. "The Euromarkets after 1992," NBER Working Papers 3003, National Bureau of Economic Research, Inc.

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