A pricing kernel approach to valuing options on interest rate futures
Xiaoquan Liu, Jing-Ming Kuo and Jerry Coakley
| Year of publication: |
2015
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|---|---|
| Authors: | Liu, Xiaoquan ; Kuo, Jing-Ming ; Coakley, Jerry |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 1/3, p. 93-110
|
| Subject: | pricing kernels | simulation-based Bayesian approach | LIBOR futures options | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | CAPM | Derivat | Derivative | Simulation | Bayes-Statistik | Bayesian inference | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519972