Browsing by Title "Do interest rate options contain information about excess returns?"

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    • Do interest rate options contain information about excess returns? 

      Almeida, Caio Ibsen Rodrigues de; Graveline, Jeremy J.; Joslin, Scott
      2011-09-01
      There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...