Implied volatility of interest rate options: An empirical investigation of the market model

Review of Derivatives Research

Volumn 5, Issue 1, 2002, Pages 51-80

  Christiansen, Charlotte ^a   Hansen, Charlotte Strunk ^b  

^a AARHUS SCHOOL OF BUSINESS   (Denmark)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

Implied volatility; Interest rate options; LIBOR market model; Market efficiency; Volatility forecasting; Zero coupon bond options

Indexed keywords

EID: 1642337656     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1013860216764     Document Type: Article

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