Treasury option returns and models with unspanned risks
Gurdip Bakshi, John Crosby, Xiaohui Gao, Jorge W. Hansen
| Year of publication: |
2023
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|---|---|
| Authors: | Bakshi, Gurdip S. ; Crosby, John ; Gao, Xiaohui ; Hansen, Jorge W. |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 150.2023, 3, p. 1-30
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| Subject: | Interest-rate models | Option risk premiums | Options on futures on Treasury bonds | Unspanned risks in the pricing kernel | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Öffentliche Anleihe | Public bond | Risiko | Risk | CAPM | Staatspapier | Government securities | Derivat | Derivative | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Zinsderivat | Interest rate derivative | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2023.103736 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462650