equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning … portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing … of established asset-pricing models that assume constant risk aversion across maturities. …

to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the … prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver … of MBS spreads and present a new pricing model that uses "stripped" MBS prices to identify the contribution of this risk …

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model …

derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset-pricing …