Acknowledgments: I gratefully acknowledge many helpful discussions with Michael Brandt and Amir Yaron. I also thank participants at the 16th Derivatives Securities and Risk Management Conference at the Federal Deposit Insurance Corporation and SoFiE Third Annual Meeting. All remaining weaknesses are of course my own.
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Nonparametric Interest Rate Cap Pricing: Implications for the ‘‘Unspanned Stochastic Volatility“ Puzzle†
Article first published online: 15 AUG 2011
DOI: 10.1111/j.2041-6156.2011.01050.x
© 2011 Korean Securities Association
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How to Cite
Wu, T. L. (2011), Nonparametric Interest Rate Cap Pricing: Implications for the ‘‘Unspanned Stochastic Volatility“ Puzzle. Asia-Pacific Journal of Financial Studies, 40: 577–598. doi: 10.1111/j.2041-6156.2011.01050.x
- †
Publication History
- Issue published online: 15 AUG 2011
- Article first published online: 15 AUG 2011
- Received 14 May 2011; Accepted 1 June 2011
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