An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options
Published Online:1 Feb 2007https://doi.org/10.1287/mnsc.1060.0628
Supplemental Material
mnsc.1060.0628-sm-ec.pdf (1 MB)
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Volume 53, Issue 2
February 2007
Pages iv-355
Article Information
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- Received:May 07, 2005
- Published Online:February 01, 2007
Copyright © 2007, INFORMS
Cite as
Turan G. Bali, (2007) An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options. Management Science 53(2):323-339.
https://doi.org/10.1287/mnsc.1060.0628
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