This paper values interest rate options using an improved parametric pricing kernel in the Merton (1973) intertemporal capital asset pricing model framework. The pricing kernel is driven by the real interest rate, the Jensen's alpha, and the market volatility. Parameters in the pricing kernel...

The sharp increase in U.S. interest rates that began in the late 1970's and early 1980's as well as in October 1993 focused increased attention on interest rate risk, especially in mortgage backed and derivative securities. more than ever, life insurance companies need to control interest rate...

This paper values interest rate options using an improved parametric pricing kernel in the Merton (1973) intertemporal capital asset pricing model framework. The pricing kernel is driven by the real interest rate, the Jensen's alpha, and the market volatility. Parameters in the pricing kernel...

This paper uses cross-sectional quarterly data to estimate the parameters of the Schwartz and Moon (2000) model and to price five well known internet companies. The model is drawn from real options theory and capital budgeting techniques. Both continuous and discrete time versions are proposed....

Enormous progress has been made by academics and finance practitioners alike in modeling the dynamics of the term structure of interest rates in the past 35 years. This paper extends Yan (2001). The dynamics of the term structure of interest rates are critical in assessing prices and hedging...

Black (1976) model assumes a lognormal distribution for futures prices, and has been shown to misprice deep in-the-money and deep out-of-the-money futures options. in this paper, the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a) is fitted to currency...