Stabsseminar ved Charlotte S. Hansen

Dr. Charlotte S. Hansen fra Aarhus Universitet holder stabsseminar på Institutt for foretaksøkonomi i morgen, fredag.

09.11.2000 - Afsoun Sabzian

Tema er Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model

Tid og sted:
Fredag 10. november kl. 1215-1330 i Karl Borchs Aud.

Abstract
We analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill rate. These options have not been studied previously. It is shown that a European style put option on the interest rate is equivalent toa call option on a zero-coupon bond. We apply the LIBOR market model and conduct a battery of validity tests to compare three different volatility specifications: constant, affine, and exponential volatility. It appears that the additional parameter in the affine and the exponential volatility function is not justified.

Overall, the market model fares well in describing these options.

Paper kan hentes fra internett:
www.econ.au.dk/vip_htm/chansen/Impvol.pdf.