Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing

Peter Carr, Xavier Gabaix, Liuren Wu

Tóm tắt

Từ khóa


Tài liệu tham khảo

S H Babbs, 1995, Term Structure Modeling under Alternative Official Regimes

P Carr, 2004, Time-Changed L�vy Processes and Option Pricing, Journal of Financial Economics, 71, 113, 10.1016/s0304-405x(03)00171-5

P Carr, 2006, A Tale of Two Indices, Journal of Derivatives, 13, 13, 10.3905/jod.2006.616865

J Cochrane, 2004, Asset Pricing

P Collin-Dufresne, 2002, Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility, Journal of Finance, 57, 1685, 10.1111/1540-6261.00475

J C Cox, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385, 10.2307/1911242

Q Dai, 2003, Term Structure Dynamics in Theory and Reality, Review of Financial Studies, 16, 631, 10.1093/rfs/hhg010

D Duffie, 1992, Dynamic Asset Pricing Theory

D Duffie, 2000, Transform Analysis and Asset Pricing for Affine Jump Diffusions, Econometrica, 68, 1343, 10.1111/1468-0262.00164

X Gabaix, 2007, Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices, 10.3386/w13430

M Harrison, 1979, Martingales and Arbitrage in Multiperiod Security Markets, Journal of Economic Theory, 20, 381, 10.1016/0022-0531(79)90043-7

D Heath, 1992, Bond Pricing and the Term Structure of Interest Rates: A New Technology for Contingent Claims Valuation, Econometrica, 60, 77, 10.2307/2951677

M Heidari, 2007, Pricing of Swaptions in Affine Term Structures with Stochastic Volatility, Advances in Mathematical Finance, 173, 10.1007/978-0-8176-4545-8_10

M Heidari, 2003, Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?, Journal of Fixed Income, 13, 75, 10.3905/jfi.2003.319347

M Heidari, 2008, Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest-Rate Derivatives, Journal of Financial and Quantitative Analysis

J Hull, 1990, Pricing Interest-Rate Derivative Securities, Review of Financial Studies, 3, 573, 10.1093/rfs/3.4.573

J Jacod, 1987, Limit Theorems for Stochastic Processes, 10.1007/978-3-662-02514-7

R E Kalman, 1960, A New Approach to Linear Filtering and Prediction Problems, Transactions of the ASMEJournal of Basic Engineering, 82, 35, 10.1115/1.3662552

M Leippold, 2003, Design and Estimation of Quadratic Term Structure Models, European Finance Review, 7, 47, 10.1023/a:1022502724886

H Li, 2006, Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives, Journal of Finance, 61, 341, 10.1111/j.1540-6261.2006.00838.x

L Rogers, 1987, Diffusions, Markov Processes, and Martingales, 2, 10.1017/cbo9781107590120.005

D Schrager, 2006, Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models, Mathematical Finance, 16, 673, 10.1111/j.1467-9965.2006.00289.x

O A Vasicek, 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 177, 10.1016/0304-405x(77)90016-2

E A Wan, 2001, The Unscented Kalman Filter, Kalman Filtering and Neural Networks, 10.1002/0471221546.ch7

L Wu, 2008, Modeling Financial Security Returns Using L�vy Processes, Handbook of Financial Engineering, 10.1016/s0927-0507(07)15003-9

Entries report the sample averages of the pricing errors on swaption implied volatilities, defined as the difference in percentage points between the market implied volatility quotes and model-implied values. Each panel represents one model. Within each panel, each column represents one option maturity and each row represents one underlying swap maturity