Pricing Stock Options with Stochastic Interest Rate
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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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: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1937633