Extracting implicit density functions from short term interest rate options
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Keywords
monetary policy, implicit density function, interest rate options, market expectations
Dewey Decimal Classification
330 Wirtschaft
Citation
Nielsen, H. (2001). Extracting implicit density functions from short term interest rate options. Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes. , 2001,47, https://doi.org/10.18452/3578