Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle
Year of publication: |
2011
|
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Authors: | Wu, Tao L. |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 40.2011, 4, p. 577-598
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Subject: | Fixed income | Derivatives | Term structure of interest rates | Zinsstruktur | Yield curve | Volatilität | Volatility | Anleihe | Bond | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Zins | Interest rate | Risikoprämie | Risk premium |
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