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Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
16 references·3 citing·37 second hop
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (2009)Nonparametric Estimation of State-Price D…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Empirical pricing kernels (2002)Empirical pricing kernelsTransform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The pricing of commodity contracts (1976)The pricing of commodity cont…The Swaption Cube (2012)The Swaption CubeIs the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction (2012)Is the KOSPI 200 Options Mark…On the Number of State Variables in Options Pricing (2010)On the Number of State Variab…Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Model-Free Implied Volatility and Its Information Content (2005)An equilibrium characterization of the term structure (1977)Specification Tests in Econometrics (1978)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)On estimating the expected return on the market (1980)Implied Binomial Trees (1994)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)Option‐Implied Risk Aversion Estimates (2004)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 2002Empirical pricing kernels687 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited

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2002
Quadratic Term Structure Models: Theory and Evidence
469 cited

Cited by

  • 2012The Swaption Cube42 cited
  • 2010On the Number of State Variables in Options Pricing39 cited
  • 2012Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction32 cited