izpis_h1_title_alt

Spanned stochastic volatility in bond markets : a reexamination of the relative pricing between bonds and bond options
Kim, Don H. (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work239.pdf Povezava se odpre v novem oknu

Izvleček
This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios, and analyze the evidence for each of them. I argue that the poor bonds/options relative pricing in the extant literature is not necessarily evidence for the strong USV scenario, and show that a maximally flexible 2-factor quadratic-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping the positive-definiteness requirement for nominal interest rates and adopting "regularized" estimations turn out to be important for obtaining sensible results.

Jezik:Angleški jezik
Ključne besede:finančni trg, trg kapitala, obveznice, opcije, oblikovanje cene, obrestna mera, izvedeni finančni instrumenti, financial market, capital market, bonds, options, pricing, interest rate, derivatives
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2007
Založnik:Bank for International Settlements
Št. strani:38 str.
Kraj:Basel (Switzerland)
UDK:336.76
COBISS.SI-ID:17777894 Povezava se odpre v novem oknu
Število ogledov:699
Število prenosov:209
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
:
Objavi na:AddThis
AddThis uporablja piškotke, za katere potrebujemo vaše privoljenje.
Uredi privoljenje...

Podobna dela

Podobna dela v RUL:
Podobna dela v drugih slovenskih zbirkah:

Komentarji

Dodaj komentar

Za komentiranje se morate prijaviti.

Komentarji (0)
0 - 0 / 0
 
Ni komentarjev!

Nazaj