Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
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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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 1992
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.1992.tb00030.x