Do interest rate options contain information about excess returns?
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Publication:737991
DOI10.1016/j.jeconom.2011.02.007zbMath1441.62256OpenAlexW1994501398MaRDI QIDQ737991
Caio Almeida, Scott Joslin, Jeremy J. Graveline
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.007
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
SWAPTION PRICING IN AFFINE AND OTHER MODELS ⋮ Staying at zero with affine processes: an application to term structure modelling ⋮ A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
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- Bootstrap Methods
- Do option markets correctly price the probabilities of movement of the underlying asset?
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