The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
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DOI: 10.1002/fut.21829
Abstract: We address an important yet unanswered question: What would be the economic determinants of the implied volatility during the zero lower bound periods? To answer this question, we examine time variations of the cap market… read more here.
Keywords: zero lower; implied volatility; volatility; markets zero ... See more keywords