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Measuring Bond Price Volatility

Published online by Cambridge University Press:  06 April 2009

Miles Livingston
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Extract

In the literature dealing with bond price volatility, there have been two divergent approaches. On the one hand, theoretical papers have looked at bond price volatility in the instantaneous framework of the calculus. Using the derivative of bond price (P) with respect to yield to maturity (y), it has been shown that volatility is linearly related to this derivative (dP/dy). (See [10].)

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 2 , June 1979 , pp. 343 - 349
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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