A Bayesian approach to the empirical valuation of bond options

DOI10.1016/0304-4076(95)01776-3zbMATH Open0864.62085OpenAlexW2084541672MaRDI QIDQ1126472FDOQ1126472

Authors: Peter C. Schotman 

Publication date: 8 December 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01776-3

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zbMATH Keywords

tablesidentificationtime seriescross-sectional datamulticollinearityoption pricingunit rootslikelihood functionterm structure of interest ratesempirical valuation of bond optionsgraphical plots

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cites Work

• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian analysis of contingent claim model error
• A Bayesian analysis of the unit root in real exchange rates

Cited In (2)

• La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
• Bayesian analysis of contingent claim model error

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