The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime-Shift Pricing Approach-Reference-Cited by-同舟云学术

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The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime-Shift Pricing Approach

Published:2015-03-09 Issue:1 Volume:36 Page:66-87
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Ferland René¹,Gauthier Geneviève²,Lalancette Simon³

Affiliation:

1. René Ferland is at the Department of Mathematics; University du Québec à Montréal; P.O. Box 8888 Montréal Québec, Canada H3C 3P8

2. Geneviève Gauthier is at the Department of Management Sciences; HEC Montréal; 3000 Cote-Ste-Catherine Road Montréal Québec, Canada H3T 2A7

3. Simon Lalancette is at the Department of Finance; HEC Montréal; 3000 Cote-Ste-Catherine Road Montréal Québec, Canada H3T 2A7

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21711/fullpdf

Reference35 articles.

1. Abdymomunov , A. Kang , K. H. 2011

2. Do interest rate options contain information about bond excess returns;Almeida;Journal of Econometrics,2011

3. Are interest rate options important for the assessment of interest rate risk;Almeida;Journal of Banking and Finance,2009

4. Monetary policy shifts and the term structure;Ang;Review of Economic Studies,2010

5. Real-time measurement of business conditions;Aruoba;Journal of Business and Economic Statistics,2009

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