Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle
Tao L. Wu
| 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 | Stochastischer Prozess | Stochastic process | Anleihe | Bond | Zinsderivat | Interest rate derivative | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics |
| 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/10009388552