Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zühlsdorff, Christian, 2002. "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers 6/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
More about this item
KeywordsImplied volatility; Interest rate options; Market efficiency; Market model; Volatility forecasting; Zero-coupon bond options;
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