An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options
نویسندگان
چکیده
منابع مشابه
A pricing kernel approach to valuing interest rate options
This paper investigates parametric pricing kernels for interest rate options within the intertemporal CAPM framework. The usual GMM estimation produces problematic pricing kernels that either fail statistical robustness tests or are inconsistent with economic theory in terms of being hump-shaped and having negative segments. Adopting the second Hansen-Jagannathan (HJ) distance, the four-term po...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1999
ISSN: 0022-1082
DOI: 10.1111/0022-1082.00104