TITLE

Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities

AUTHOR(S)
Bliss, Robert R.; Ronn, Ehud I.
PUB. DATE
March 1997
SOURCE
Working Paper Series (Federal Reserve Bank of Atlanta);Mar1997, Vol. 1997 Issue 1, p1
SOURCE TYPE
Working Paper
DOC. TYPE
Working Paper
ABSTRACT
Presents information as it relates to the United States Treasury. Availability of the prices for the Treasury securities from 1926-1995; Implications of the interest rates for the period; Details on interest-rates contingent claims; Information on the various models used to substantiate this claim; Steps taken in finding the implied interest-rate volatility for a particular bond; Statistical information on the Treasury.
ACCESSION #
9707225211

 

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