Option-implied bond spread risk
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More about this item
Keywords
Financial market; sovereign bond yield; risk premium; euro area; option contract; risk-neutral distribution; probability density function; copula model;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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