Scandinavian Working Papers in Business Administration

Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies

No 00-1: Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.

Charlotte Christiansen () and Charlotte Strunk Hansen
Additional contact information
Charlotte Christiansen: Department of Finance, Aarhus School of Business, Postal: The Aarhus School of Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Charlotte Strunk Hansen: School of Economics and Management, Postal: University of Aarhus, Universitetsparken, 8000 Aarhus C, Denmark

Abstract: ==

Keywords: Implied volatility; Interest rate options; Market efficiency; Market model; Volatility forecasting; Zero-coupon bond options

38 pages, January 1, 2000

Download statistics

Questions (including download problems) about the papers in this series should be directed to Helle Vinbaek Stenholt ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:10:05.