Do interest rate options contain information about excess returns?

DOI10.1016/j.jeconom.2011.02.007zbMath1441.62256OpenAlexW1994501398MaRDI QIDQ737991

Caio Almeida, Scott Joslin, Jeremy J. Graveline

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.007

zbMATH Keywords

optionsinterest ratesforecastingexcess returnsrisk premia

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

SWAPTION PRICING IN AFFINE AND OTHER MODELS ⋮ Staying at zero with affine processes: an application to term structure modelling ⋮ A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

Cites Work

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• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• The dynamics of stochastic volatility: evidence from underlying and options markets
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• A Theory of the Term Structure of Interest Rates
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Bootstrap Methods
• Do option markets correctly price the probabilities of movement of the underlying asset?

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