Non-Parametric Pricing of Interest Rates Options
نویسندگان
چکیده
منابع مشابه
Pricing Interest Rate Options
We price moneyness-based portfolio returns on the LIBOR futures options in an Intertemporal CAPM framework as an extension of the pricing kernel approach. In contrast to existing studies for pricing index options, our results show that only the real interest rate is significant in the pricing kernel for LIBOR options. The polynomial pricing kernel with linear interpretation outperforms the iso-...
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Two of the authors (DE and PW) recently introduced a non-probabilistic spot interest rate model. The key concepts in this model are the non-diffusive nature of the spot rate process and the uncertainty in the parameters. The model assumes the worst possible outcome for the spot rate path when pricing a fixed-income product. The model differs in many important ways from the traditional approache...
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MARCH 1995 Hedging interest rate risk has become one of the most common and important types of a financial manager's risk management activities. A classic example is for a firm to hedge its cost of funds by using an interest rate cap to place an upper bound on its borrowing costs. The hedge typically consists of a sequence of individual call options on the interest rate, with option expiration ...
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The goal of non-parametric option pricing models is to price and risk mange financial derivatives in a model-free approach. Standard option pricing models need to assume a certain dynamics for the underlying. Model parameters are calibrated (or bootstrapped) to match certain conditions. These can be an exact fit to some market instruments whenever possible, a best fit otherwise, or some risk mi...
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ژورنال
عنوان ژورنال: Brazilian Review of Econometrics
سال: 2014
ISSN: 1980-2447
DOI: 10.12660/bre.v32n22012.13534