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.
Nonparametric Interest Rate Cap Pricing: Implications for the ‘‘Unspanned Stochastic Volatility“ Puzzle*
Article first published online: 15 AUG 2011
© 2011 Korean Securities Association
Asia-Pacific Journal of Financial Studies
Volume 40, Issue 4, pages 577–598, August 2011
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
- Issue published online: 15 AUG 2011
- Article first published online: 15 AUG 2011
- Received 14 May 2011; Accepted 1 June 2011
Options for accessing this content:
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!