A Bayesian approach to the empirical valuation of bond options
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Publication:1126472
DOI10.1016/0304-4076(95)01776-3zbMath0864.62085OpenAlexW2084541672MaRDI QIDQ1126472
Publication date: 8 December 1996
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01776-3
tablesidentificationtime seriesterm structure of interest ratesoption pricingunit rootslikelihood functionmulticollinearitycross-sectional dataempirical valuation of bond optionsgraphical plots
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Cites Work
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- A Bayesian analysis of the unit root in real exchange rates
- Bayesian analysis of contingent claim model error
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
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